A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Yingying Li, Zhiyuan Zhang, Yichu Li
| Year of publication: |
April 2018
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|---|---|
| Authors: | Li, Yingying ; Zhang, Zhiyuan ; Li, Yichu |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 203.2018, 2, p. 187-222
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| Subject: | High-frequency data | Rounding errors | Market microstructure noise | Integrated volatility | Realized volatility | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Statistischer Fehler | Statistical error |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.11.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974656