Asymptotic results for the Fourier estimator of the integrated quarticity
Giulia Livieri, Maria Elvira Mancino, Stefano Marmi
| 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
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| Subject: | (Powers of) volatility estimation | Quarticity | Central limit theorem | Fourier analysis | High-frequency data | Volatilität | Volatility | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Marktmikrostruktur | Market microstructure | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-019-00259-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012127239