Trading information, price discreteness, and volatility estimation

DOI10.1016/j.jspi.2022.02.001OpenAlexW4210963183MaRDI QIDQ2123280

Ye Peng, Zhiyuan Zhang, Yinfen Tang

Publication date: 8 April 2022

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2022.02.001

zbMATH Keywords

high-frequency dataparticle filtersnonlinear least squaresprice discretenessstructural random noise

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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