Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
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Publication:308366
DOI10.1016/j.jeconom.2016.05.005zbMath1443.62366OpenAlexW3122788840MaRDI QIDQ308366
Publication date: 6 September 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.005
continuityjumpsmicrostructureconsistencycumulantsequivalent martingale measureefficiencycontiguityrobust estimationleverage effectsemi-martingalehigh frequency datastable convergenceM-estimationrealised volatilitydiscrete observationmedianisationpre-averagingrealised beta
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)
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