Two-scale realized kernels : a univariate case
Year of publication: |
2015
|
---|---|
Authors: | Ikeda, Shin S. |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 1, p. 126-165
|
Subject: | high frequency data | long-run variance | microstructure noise | quadratic variation | realized kernel | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading |
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