Bias-corrected realized variance under dependent microstructure noise
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Publication:543443
DOI10.1016/j.matcom.2010.04.017zbMath1215.62112OpenAlexW2022467123MaRDI QIDQ543443
Publication date: 17 June 2011
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2010.04.017
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)
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Cites Work
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Realized Volatility: A Review
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- A Tale of Two Time Scales
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