An Unbiased Measure of Integrated Volatility in the Frequency Domain
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Publication:2789386
DOI10.1111/jtsa.12137zbMath1416.62531OpenAlexW1839640030MaRDI QIDQ2789386
Publication date: 29 February 2016
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12137
discrete Fourier transformperiodogramspectral densitymarket microstructure noiseintegrated volatilityultra-high-frequency data
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)
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