Asymptotic results for the Fourier estimator of the integrated quarticity
Year of publication: |
2019
|
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Authors: | Livieri, Giulia ; Mancino, Maria Elvira ; Marmi, Stefano |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 471-502
|
Subject: | (Powers of) volatility estimation | Quarticity | Central limit theorem | Fourier analysis | High-frequency data | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Volatilität | Volatility |
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