The observed asymptotic variance : hard edges, and a regression approach
Per A. Mykland, Lan Zhang
| Year of publication: |
2021
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|---|---|
| Authors: | Mykland, Per A. ; Zhang, Lan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,2, p. 411-428
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| Subject: | Asynchronous times | Consistency | Discrete observation | Edge effect | Irregular times | Leverage effect | Microstructure | Observed information | Realized volatility | Robust estimation | Semimartingale | Standard error | Two scales estimation | Volatility of volatility | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation | Marktmikrostruktur | Market microstructure | Regressionsanalyse | Regression analysis | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.07.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619653