Kernel estimation of spot volatility with microstructure noise using pre-averaging
Year of publication: |
2024
|
---|---|
Authors: | Figueroa-López, José E. ; Wu, Bei |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 1469-4360, ZDB-ID 1501041-7. - Vol. 40.2024, 3, p. 558-607
|
Subject: | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation |
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