The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
type: Item
instance of: scholarly article
title: The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
zbMATH Open document ID: 1452.62782
author: Lan Zhang
author: Dachuan Chen
author: Per Aslak Mykland
published in: Journal of Econometrics
publication date: 2019-04-26T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7048310
zbMATH Keywords: asynchronous times
zbMATH Keywords: consistency
zbMATH Keywords: discrete observation
zbMATH Keywords: efficiency
zbMATH Keywords: endogenous times
zbMATH Keywords: equivalent martingale measure
zbMATH Keywords: irregular times
zbMATH Keywords: Itô process
zbMATH Keywords: leads and lags
zbMATH Keywords: leverage effect
zbMATH Keywords: microstructure
zbMATH Keywords: pre-averaging
zbMATH Keywords: realized volatility
zbMATH Keywords: robust estimation
zbMATH Keywords: stable convergence
zbMATH Keywords: two scales estimation
MaRDI profile type: Publication
full work available at URL: j.jeconom.2018.09.007
OpenAlex ID: W2897359020
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Wikidata QID: Q129061343
DOI: 10.1016/J.JECONOM.2018.09.007
description: scientific article; zbMATH DE number 7048310