Estimation of spot volatility with superposed noisy data
Qiang Liu, Yiqi Liu, Zhi Liu, Li Wang
| Year of publication: |
2018
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|---|---|
| Authors: | Liu, Qiang ; Liu, Yiqi ; Liu, Zhi ; Wang, Li |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 44.2018, p. 62-79
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| Subject: | Central limit theorem | High frequency financial data | Kernel estimate | Microstructure noise | Multiple records | Range-based estimation | Spot volatility | Volatilität | Volatility | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Noise Trading | Noise trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2017.11.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012036296