Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
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 | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
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