Forecasting return volatility in the presence of microstructure noise
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Publication:440195
DOI10.4310/SII.2010.V3.N2.A2zbMath1245.91101OpenAlexW2019929959MaRDI QIDQ440195
Lan Zhang, Zhixin Kang, Rong Chen
Publication date: 18 August 2012
Published in: Statistics and Its Interface (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/sii.2010.v3.n2.a2
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
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