Inference for nonparametric high-frequency estimators with an application to time variation in betas
Year of publication: |
2023
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Authors: | Kalnina, Ilze |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 2, p. 538-549
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Subject: | Market microstructure noise | Realized volatility | Subsampling | Volatilität | Volatility | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Börsenkurs | Share price | Noise Trading | Noise trading | Induktive Statistik | Statistical inference | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
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