Estimating the integrated volatility with tick observations (Q1739633)
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scientific article; zbMATH DE number 7048309
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the integrated volatility with tick observations |
scientific article; zbMATH DE number 7048309 |
Statements
Estimating the integrated volatility with tick observations (English)
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26 April 2019
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high-frequency data
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integrated volatility
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market microstructure noise
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dependent noise
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endogenous time
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