Estimating the integrated volatility using high-frequency data with zero durations
type: Item
instance of: scholarly article
title: Estimating the integrated volatility using high-frequency data with zero durations
zbMATH Open document ID: 1387.62110
author: Zhi Liu
author: Xin-Bing Kong
author: Bing-Yi Jing
published in: Journal of Econometrics
publication date: 2018-04-18T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 6861165
zbMATH Keywords: Itô semimartingale
zbMATH Keywords: high frequency data
zbMATH Keywords: multiple transactions
zbMATH Keywords: realized power variations
zbMATH Keywords: microstructure noise
zbMATH Keywords: central limit theorem
zbMATH Keywords: asymptotic distribution
MaRDI profile type: Publication
full work available at URL: j.jeconom.2017.12.008
OpenAlex ID: W2791056371
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DOI: 10.1016/J.JECONOM.2017.12.008
description: scientific article; zbMATH DE number 6861165