Rate efficient estimation of realized Laplace transform of volatility with microstructure noise (Q5242898)
From MaRDI portal
scientific article; zbMATH DE number 7128042
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rate efficient estimation of realized Laplace transform of volatility with microstructure noise |
scientific article; zbMATH DE number 7128042 |
Statements
Rate efficient estimation of realized Laplace transform of volatility with microstructure noise (English)
0 references
7 November 2019
0 references
high-frequency data
0 references
Laplace transform of volatility
0 references
microstructure noise
0 references
pre-averaging
0 references
stable convergence
0 references
high-frequency sampling
0 references
central limit theorem
0 references
