Spectral analysis of quadratic variation in the presence of market microstructure noise

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DOI10.4310/SII.2015.v8.n3.a5zbMath1388.62310OpenAlexW2316587468MaRDI QIDQ1747456

Fangfang Wang

Publication date: 8 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2015.v8.n3.a5

zbMATH Keywords

discrete Fourier transform periodogram spectral density quadratic variation market microstructure noise jump diffusion

Mathematics Subject Classification ID

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