Two-scale realized kernels : a univariate case
Shin S. Ikeda
| 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 | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Nichtparametrisches Verfahren | Nonparametric statistics |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010519659