Asymptotic normality and finite-sample robustness of the fourier spot volatility estimator in the presence of microstructure noise
Maria Elvira Mancino, Tommaso Mariotti, Giacomo Toscano
| Year of publication: |
2025
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| Authors: | Mancino, Maria Elvira ; Mariotti, Tommaso ; Toscano, Giacomo |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 43.2025, 4, p. 850-861
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| Subject: | Fourier estimator | High-frequency data | Nonparametric spot volatility estimation | Stochastic volatility | Volatilität | Volatility | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Marktmikrostruktur | Market microstructure | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2024.2435910 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534469