Estimating spot volatility with high-frequency financial data

Yang Zu

Year of publication:	2014
Authors:	Zu, Yang ; Boswijk, Herman Peter
Published in:	Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 181.2014, 2, p. 117-135
Subject:	Spot volatility \| Market microstructure noise \| Subsampling \| Scale selection \| Bandwidth selection \| Volatilität \| Volatility \| Marktmikrostruktur \| Market microstructure \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Noise Trading \| Noise trading \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Finanzmarkt \| Financial market

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