Bias-corrected realized variance under dependent microstructure noise
type: Item
instance of: scholarly article
title: Bias-corrected realized variance under dependent microstructure noise
zbMATH Open document ID: 1215.62112
author: Kosuke Oya
published in: Mathematics and Computers in Simulation
publication date: 2011-06-17T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 5909200
zbMATH Keywords: two time scales
MaRDI profile type: Publication
full work available at URL: j.matcom.2010.04.017
OpenAlex ID: W2022467123
cites work: Microstructure Noise, Realized Variance, and Optimal Sampling
cites work: Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
cites work: Realized Volatility: A Review
cites work: A Tale of Two Time Scales
DOI: 10.1016/J.MATCOM.2010.04.017
description: scientific article; zbMATH DE number 5909200