Local parametric estimation in high frequency data
Yoann Potiron, Per Mykland
| Year of publication: |
2020
|
|---|---|
| Authors: | Potiron, Yoann ; Mykland, Per A. |
| Subject: | Integrated volatility | Market microstructure noise | Powers of volatility | Quasi-maximum likelihood estimator | Volatilität | Volatility | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2019.1566731 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262505