Estimating integrated co-volatility with partially miss-ordered high frequency data

DOI10.1007/s11203-015-9124-yzbMath1356.62122OpenAlexW1056100109MaRDI QIDQ300776

Zhi Liu

Publication date: 29 June 2016

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-015-9124-y

zbMATH Keywords

central limit theoremdiffusion modelhigh frequency datastable convergencemultiple transactions

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

Determining the integrated volatility via limit order books with multiple records ⋮ Estimating the integrated volatility using high-frequency data with zero durations ⋮ Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations

Uses Software

• FinTS

Cites Work

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