Inference from high-frequency data : a subsampling approach
K. Christensen, M. Podolskij, N. Thamrongrat, B. Veliyev
| Year of publication: |
April 2017
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|---|---|
| Authors: | Christensen, Kimberly ; Podolskij, Mark ; Thamrongrat, Nopporn ; Veliyev, B. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 197.2017, 2, p. 245-272
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| Subject: | Bipower variation | High-frequency data | Microstructure noise | Positive semi-definite estimation | Pre-averaging | Stochastic volatility | Subsampling | Volatilität | Volatility | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Noise Trading | Noise trading | Stichprobenerhebung | Sampling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.07.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011818358