Analysis of high frequency data in finance: a survey
George J. Jiang, Guanzhong Pan
| Year of publication: |
2020
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|---|---|
| Authors: | Jiang, George J. ; Pan, Guanzhong |
| Published in: |
Frontiers of economics in China : selected publications from Chinese universities. - Beijing : Higher Education Press, ISSN 1673-3444, ZDB-ID 2295851-4. - Vol. 15.2020, 2, p. 141-166
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| Subject: | high frequency data | quadratic variation (QV) | realized variance (RV) | power variation (PV) | bipower variation | jump tests | market microstructure noise | asset pricing | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Börsenkurs | Share price | CAPM | Finanzmarkt | Financial market | Noise Trading | Noise trading | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3868/s060-011-020-0007-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012670616