Efficient estimation of integrated volatility incorporating trading information
Year of publication: |
November 2016
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Authors: | Li, Yingying ; Xie, Shangyu ; Zheng, Xinghua |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 195.2016, 1, p. 33-50
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Subject: | High frequency data | Integrated volatility | Market microstructure noise | Realized volatility | Efficiency | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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