Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity

DOI10.1080/03610926.2017.1307403zbMath1388.62309OpenAlexW2602729538MaRDI QIDQ4638722

Erlin Guo, Cui-Xia Li

Publication date: 27 April 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1307403

zbMATH Keywords

endogeneityjumpscentral limit theoremhigh-frequency datamicrostructure noiseItô semimartingalethreshold methodlocal average

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

Related Items (3)

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Cites Work

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