Generalized Method of Integrated Moments for High-Frequency Data

DOI10.3982/ECTA12306zbMath1410.62206OpenAlexW3121348410MaRDI QIDQ4613433

Dacheng Xiu, Jia Li

Publication date: 31 January 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta12306

zbMATH Keywords

high-frequency dataGMMsemimartingalespot volatilitynonlinearity bias

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42)

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