Estimation of volatility in a high-frequency setting : a short review
Year of publication: |
2019
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Authors: | Jacod, Jean |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 351-385
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Subject: | Volatility | High-frequency | Microstructure noise | Fourier methods | Volatilität | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
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