Volatility estimation under one-sided errors with applications to limit order books (Q350689)
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scientific article; zbMATH DE number 6662298
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility estimation under one-sided errors with applications to limit order books |
scientific article; zbMATH DE number 6662298 |
Statements
Volatility estimation under one-sided errors with applications to limit order books (English)
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9 December 2016
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semimartingale
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volatility estimation
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Brownian excursion area
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limit order book
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nonparametric minimax rate
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high-frequency data
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Poisson point process
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