The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Year of publication: |
2019
|
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Authors: | Mykland, Per A. ; Zhang, Lan ; Chen, Dachuan |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 208.2019, 1, p. 101-119
|
Subject: | Asynchronous times | Consistency | Discrete observation | Efficiency | Endogenous times | Equivalent martingale measure | Irregular times | Itô process | Leads and lags | Leverage effect | Microstructure | Pre-averaging | Realized volatility | Robust estimation | Stable convergence | Two scales estimation | Schätztheorie | Estimation theory | Volatilität | Volatility | Robustes Verfahren | Robust statistics | Zeit | Time |
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