Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale
Year of publication: |
2005
|
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Authors: | Christensen, Kim ; Podolski, Mark |
Publisher: |
Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |
Subject: | Martingale | Varianzanalyse | Schätztheorie | Zeitreihenanalyse | Nichtparametrisches Verfahren | Volatilität | Theorie | Central Limit Theorem ; Continuous Semi-Martingale ; High-Frequency Data ; Integrated Variance ; Market Microstructure Noise ; Quadratic Variation |
Series: | Technical Report ; 2005,18 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 499029674 [GVK] hdl:10419/22609 [Handle] RePEc:zbw:sfb475:200518 [RePEc] |
Source: |
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