A state space approach to estimating the integrated variance under the existence of market microstructure noise
Daisuke Nagakura; Toshiaki Watanabe
| Year of publication: |
2015
|
|---|---|
| Authors: | Nagakura, Daisuke ; Watanabe, Toshiaki |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 1, p. 45-82
|
| Subject: | exchange rate | identification | integrated variance | market microstructure noise | realized variance | state space | Marktmikrostruktur | Market microstructure | Varianzanalyse | Analysis of variance | Wechselkurs | Exchange rate | Zustandsraummodell | State space model | Schätzung | Estimation | Volatilität | Volatility | US-Dollar | US dollar | Yen | Noise Trading | Noise trading | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010519663