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Statistical inferences for price staleness
Kolokolov, Aleksey
;
Livieri, Giulia
;
Pirino, Davide
-
2018
frequently lack new updates showing
zero
returns
. In this paper, we propose a theoretical framework for formalizing this …
Persistent link: https://www.econbiz.de/10011941155
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Robust estimation of integrated variance and quarticity under flat price and no trading bias
Schulz, Frowin C.
-
2010
This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...
Persistent link: https://www.econbiz.de/10010304602
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