Estimating the integrated volatility with tick observations

DOI10.1016/j.jeconom.2018.09.006zbMath1452.62771OpenAlexW3122291666WikidataQ129131177 ScholiaQ129131177MaRDI QIDQ1739633

Ying-Ying Li, Jean Jacod, Xinghua Zheng

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.09.006

zbMATH Keywords

high-frequency datamarket microstructure noiseintegrated volatilitydependent noiseendogenous time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

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