Central limit theorem for the realized volatility based on tick time sampling
| Year of publication: |
2010
|
|---|---|
| Authors: | Fukasawa, Masaaki |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 14.2010, 2, p. 209-233
|
| Publisher: |
Springer |
| Subject: | Quadratic variation | Realized volatility | Market microstructure noise | Bid–ask bounce | Stable convergence |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008515589