VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS

DOI10.1111/j.1467-9965.2010.00454.xzbMath1278.91166OpenAlexW1854349910MaRDI QIDQ4906543

Christian Y. Robert, Mathieu Rosenbaum

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00454.x

zbMATH Keywords

martingalesvolatilitycovariationstopping timesmicrostructure noiseasynchronous dataendogenous trading timesultra high-frequency data

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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