Ultra high frequency volatility estimation with dependent microstructure noise (Q737274)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Ultra high frequency volatility estimation with dependent microstructure noise |
scientific article; zbMATH DE number 6610570
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Ultra high frequency volatility estimation with dependent microstructure noise |
scientific article; zbMATH DE number 6610570 |
Statements
Ultra high frequency volatility estimation with dependent microstructure noise (English)
0 references
10 August 2016
0 references
market microstructure
0 references
serial dependence
0 references
high frequency data
0 references
realized volatility
0 references
subsampling
0 references
two scales realized volatility
0 references
multiple scales realized volatility
0 references
0 references
0 references
0 references
0 references
0 references
0.9579147
0 references
0.9153504
0 references
0.9134711
0 references
0.8959916
0 references
0.8908027
0 references
0.8894096
0 references
0.8889418
0 references
0 references
0.88162166
0 references
