Assessment of uncertainty in high frequency data : the observed asymptotic variance
by Per A. Mykland and Lan Zhang
| Year of publication: |
January 2017
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|---|---|
| Authors: | Mykland, Per A. ; Zhang, Lan |
| Published in: |
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 85.2017, 1, p. 197-231
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| Subject: | Asynchronous times | consistency | discrete observation | edge effect | irregular times | leverage effect | microstructure | observed information | realized volatility | robust estimation | semimartingale | standard error | two-scales estimation | volatility of volatility | Volatilität | Volatility | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Schätzung | Estimation | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3982/ECTA12501 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011738478