Realised Quantile-Based Estimation of the Integrated Variance
Year of publication: |
2009-05-01
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Authors: | Christensen, Kim ; Oomen, Roel ; Podolskij, Mark |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Finite activity jumps | Integrated variance | Market microstructure noise | Order statistics | Outliers | Realised variance |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 5 pages long |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C80 - Data Collection and Data Estimation Methodology; Computer Programs. General |
Source: |
-
Realised quantile-based estimation of the integrated variance
Christensen, Kim, (2010)
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Realised quantile-based estimation of the integrated variance
Christensen, Kim, (2010)
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Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise
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