Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Per A. Mykland, Lan Zhang
| Year of publication: |
October 2016
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|---|---|
| Authors: | Mykland, Per A. ; Zhang, Lan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 194.2016, 2, p. 242-262
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| Subject: | Consistency | Cumulants | Contiguity | Continuity | Discrete observation | Efficiency | Equivalent martingale measure | High frequency data | Jumps | Leverage effect | M-estimation | Medianisation | Microstructure | Pre-averaging | Realised beta | Realised volatility | Robust estimation | Semi-martingale | Stable convergence | Schätztheorie | Estimation theory | Volatilität | Volatility | Schätzung | Estimation | Robustes Verfahren | Robust statistics | CAPM | Börsenkurs | Share price | Martingal | Martingale | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.05.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011705124