Dependent microstructure noise and integrated volatility estimation from high-frequency data
Year of publication: |
2020
|
---|---|
Authors: | Li, Z. Merrick ; Laeven, Roger J. A. ; Vellekoop, Michel H. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 215.2020, 2, p. 536-558
|
Subject: | Bias correction | Dependent microstructure noise | Integrated volatility | Pre-averaging method | Realized volatility | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading | Systematischer Fehler | Bias | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income |
-
Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick, (2019)
-
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying, (2016)
-
Bias-corrected realized variance
Yeh, Jin-huei, (2019)
- More ...
-
Li, Z. Merrick, (2019)
-
Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data
Li, Z. Merrick, (2019)
-
Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick, (2019)
- More ...