Central limit theorem for the realized volatility based on tick time sampling
Year of publication: |
2010
|
---|---|
Authors: | Fukasawa, Masaaki |
Published in: |
Finance and Stochastics. - Springer. - Vol. 14.2010, 2, p. 209-233
|
Publisher: |
Springer |
Subject: | Quadratic variation | Realized volatility | Market microstructure noise | Bid–ask bounce | Stable convergence |
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