Efficient estimation of integrated volatility incorporating trading information
Yingying Li, Shangyu Xie, Xinghua Zheng
| Year of publication: |
November 2016
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|---|---|
| Authors: | Li, Yingying ; Xie, Shangyu ; Zheng, Xinghua |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 195.2016, 1, p. 33-50
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| Subject: | High frequency data | Integrated volatility | Market microstructure noise | Realized volatility | Efficiency | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Nichtparametrisches Verfahren | Nonparametric statistics | Effizienzmarkthypothese | Efficient market hypothesis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.05.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011705231