An unbiased measure of integrated volatility in the frequency domain (Q2789386)
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scientific article; zbMATH DE number 6547369
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An unbiased measure of integrated volatility in the frequency domain |
scientific article; zbMATH DE number 6547369 |
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29 February 2016
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periodogram
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discrete Fourier transform
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spectral density
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integrated volatility
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ultra-high-frequency data
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market microstructure noise
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An unbiased measure of integrated volatility in the frequency domain (English)
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