Estimating the integrated volatility using high-frequency data with zero durations
Zhi Liu, Xin-Bing Kong, Bing-Yi Jing
| Year of publication: |
May 2018
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|---|---|
| Authors: | Liu, Zhi ; Kong, Xin-Bing ; Jing, Bingyi |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 204.2018, 1, p. 18-32
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| Subject: | Itô semimartingale | High frequency data | Multiple transactions | Realized power variations | Microstructure noise | Central limit theorem | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Schätzung | Estimation | Noise Trading | Noise trading | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.12.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974707