Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
From MaRDI portal
Publication:2103295
DOI10.1007/s42081-022-00172-0zbMath1499.62381OpenAlexW4288826009MaRDI QIDQ2103295
Publication date: 13 December 2022
Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s42081-022-00172-0
stable convergenceintegrated volatilityseparating information maximum likelihood (SIML)high-frequency data analysishigher order Brownian and jump functionalslocal SIML estimation
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Discretization of processes.
- Separating information maximum likelihood method for high-frequency financial data
- Detecting factors of quadratic variation in the presence of market microstructure noise
- Effects of jumps and small noise in high-frequency financial econometrics
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Microstructure noise in the continuous case: the pre-averaging approach
- Fourier-Malliavin Volatility Estimation
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Stable Convergence and Stable Limit Theorems
- A Tale of Two Time Scales
This page was built for publication: Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
