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Integrated volatility and round-off error - MaRDI portal

Integrated volatility and round-off error (Q605018)

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scientific article
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English
Integrated volatility and round-off error
scientific article

    Statements

    title
    Integrated volatility and round-off error (English)
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    author
    Mathieu Rosenbaum
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    published in
    Bernoulli
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    publication date
    12 November 2010
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    zbMATH Keywords
    diffusion models
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    high frequency data
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    integrated volatility
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    microstructure noise
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    round-off error
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    variation methods
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    wavelets
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    cites work
    Q4349243
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    Q4778955
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    Q5515900
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    Q3550814
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    Q5773331
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    Identifiers

    DOI
    10.3150/08-BEJ170
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    Mathematics Subject Classification ID
    62P05
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    60J70
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    91G70
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    zbMATH DE Number
    5815951
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    arXiv ID
    0909.0835
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