When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility

DOI10.3982/ECTA15593zbMath1485.91220OpenAlexW3214490509MaRDI QIDQ3390570

Rui da, Dacheng Xiu

Publication date: 24 March 2022

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta15593

zbMATH Keywords

model selectionuniformityQMLEsmall noiseserially correlated noise

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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