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~institution:"Economics Research, World Bank Group"
~institution:"HAL"
~person:"Podolskij, Mark"
~subject:"Realised variance"
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Realised variance
Finite activity jumps
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Market microstructure noise
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Order statistics
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Podolskij, Mark
Christensen, Kim
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Oomen, Roel
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School of Economics and Management, University of Aarhus
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Realised quantile-based estimation of the integrated variance
Christensen, Kim
;
Oomen, Roel
;
Podolskij, Mark
-
HAL
-
2010
. Asymptotically, the quantile-based realised variance is immune to finite
activity
jumps and outliers in the price series, while in …
Persistent link: https://www.econbiz.de/10010570523
Saved in:
2
Realised quantile-based estimation of the integrated variance
Christensen, Kim
;
Oomen, Roel
;
Podolskij, Mark
-
HAL
-
2010
. Asymptotically, the quantile-based realised variance is immune to finite
activity
jumps and outliers in the price series, while in …
Persistent link: https://www.econbiz.de/10010898908
Saved in:
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