Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity (Q4638722)
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scientific article; zbMATH DE number 6865502
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity |
scientific article; zbMATH DE number 6865502 |
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Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity (English)
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27 April 2018
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central limit theorem
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endogeneity
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high-frequency data
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Itô semimartingale
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jumps
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local average
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microstructure noise
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threshold method
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