Inference from high-frequency data : a subsampling approach
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
|
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 | Stochastischer Prozess | Stochastic process | Noise Trading | Noise trading | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis |
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