Integrated variance of irregularly spaced high-frequency data : a state space approach based on pre-averaging
Vitali Alexeev, Jun Chen and Katja Ignatieva
| Year of publication: |
2023
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| Authors: | Alexeev, Vitali ; Chen, Jun ; Ignatieva, Ekaterina |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 5, p. 733-763
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| Subject: | high-frequency data | integrated variance | pre-averaging | sampling scheme | Theorie | Theory | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Volatilität | Volatility | Stichprobenerhebung | Sampling | Marktmikrostruktur | Market microstructure |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2021-0093 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014506869