Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Year of publication: |
April 2017
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Authors: | Liu, Zhi |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 2, p. 427-469
|
Subject: | Integrated volatility | High-frequency data | Multiple observations | Stable convergence | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Noise Trading | Noise trading |
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