Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Hiroyuki Taniai; Takashi Usami; Nobuyuki Suto; Masanobu Taniguchi
| Year of publication: |
2012
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|---|---|
| Authors: | Taniai, Hiroyuki ; Usami, Takashi ; Suto, Nobuyuki ; Taniguchi, Masanobu |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 10.2012, 4, p. 617-636
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| Subject: | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | ARCH-Modell | ARCH model | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009671895