Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging

DOI10.1515/snde-2021-0093MaRDI QIDQ6553232

Katja Ignatieva, Unnamed Author, Vitali Alexeev

Publication date: 11 June 2024

Published in: Unnamed Author (Search for Journal in Brave)

zbMATH Keywords

high-frequency dataintegrated variancepre-averagingsampling scheme

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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