Quasi-maximum likelihood estimation of volatility with high frequency data

DOI10.1016/j.jeconom.2010.07.002zbMath1431.62485OpenAlexW3124959603MaRDI QIDQ736702

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.07.002

zbMATH Keywords

stochastic volatility quasi-maximum likelihood estimator market microstructure noise integrated volatility realized kernels

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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