Integrated volatility and round-off error

DOI10.3150/08-BEJ170zbMath1200.62132arXiv0909.0835MaRDI QIDQ605018

Mathieu Rosenbaum

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.0835

zbMATH Keywords

waveletsround-off errordiffusion modelshigh frequency datamicrostructure noiseintegrated volatilityvariation methods

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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