Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702)
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scientific article; zbMATH DE number 6609332
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quasi-maximum likelihood estimation of volatility with high frequency data |
scientific article; zbMATH DE number 6609332 |
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Quasi-maximum likelihood estimation of volatility with high frequency data (English)
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4 August 2016
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integrated volatility
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market microstructure noise
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quasi-maximum likelihood estimator
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realized kernels
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stochastic volatility
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