Efficient asymptotic variance reduction when estimating volatility in high frequency data
Simon Clinet, Yoann Potiron
| Year of publication: |
2018
|
|---|---|
| Authors: | Clinet, Simon ; Potiron, Yoann |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 206.2018, 1, p. 103-142
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| Subject: | High frequency data | Integrated volatility | Jumps | Market microstructure noise | Quasi-maximum likelihood estimator | Realized kernels | Stochastic sampling times | Volatilität | Volatility | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process | Stichprobenerhebung | Sampling | Varianzanalyse | Analysis of variance | Noise Trading | Noise trading | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.05.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012110370