VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543)
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scientific article; zbMATH DE number 6139595
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS |
scientific article; zbMATH DE number 6139595 |
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VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (English)
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28 February 2013
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microstructure noise
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ultra high-frequency data
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volatility
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covariation
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endogenous trading times
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asynchronous data
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stopping times
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martingales
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