Optimal restricted quadratic estimator of integrated volatility
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Publication:287536
DOI10.1007/s10463-015-0507-zzbMath1432.62357OpenAlexW1973823353MaRDI QIDQ287536
Publication date: 20 May 2016
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-015-0507-z
signal-to-noise ratiohigh-frequency datastochastic volatility modelmicrostructure noiseintegrated volatility
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)
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