Detecting factors of quadratic variation in the presence of market microstructure noise
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Publication:825352
DOI10.1007/s42081-020-00104-wzbMath1477.62297OpenAlexW3127274554MaRDI QIDQ825352
Naoto Kunitomo, Daisuke Kurisu
Publication date: 17 December 2021
Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s42081-020-00104-w
limiting distributionsquadratic variationmarket microstructure noisehigh-frequency financial datacharacteristic roots and vectorshidden factorsItô semimartingalesSIML estimation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)
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