A tale of two time scales : determining integrated volatility with noisy high-frequency data
Lan Zhang, Per A. Mykland, and Yacine Ai͏̈t-Sahalia
| Year of publication: |
2005
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|---|---|
| Authors: | Zhang, Lan ; Mykland, Per A. ; Aït-Sahalia, Yacine |
| Published in: |
Journal of the American Statistical Association : JASA. - Philadelphia, Pa. : Taylor & Francis Group, ISSN 0162-1459, ZDB-ID 207602-0. - Vol. 100.2005, 472, p. 1393-1411
|
| Subject: | Kapitaleinkommen | Capital income | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | 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/10003242153