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scientific article; zbMATH DE number 936411 - MaRDI portal

scientific article; zbMATH DE number 936411

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zbMath0861.60085MaRDI QIDQ4896006

Publication date: 12 May 1997

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

round-off error local time estimation of the Brownian variance

Mathematics Subject Classification ID

Brownian motion (60J65) General theory of stochastic processes (60G07)

Related Items (6)

IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS ⋮ Microstructure noise in the continuous case: the pre-averaging approach ⋮ Central limit theorem for the realized volatility based on tick time sampling ⋮ Are volatility estimators robust with respect to modeling assumptions? ⋮ Ultra high frequency volatility estimation with dependent microstructure noise ⋮ High frequency market microstructure noise estimates and liquidity measures

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