Noisy high frequency data-based estimation of volatility function with applications
Jinguan Lin, Xuguo Ye, Yanyong Zhao and Hongxia Hao
| Year of publication: |
2023
|
|---|---|
| Authors: | Lin, Jinguan ; Ye, Xuguo ; Zhao, Yanyong ; Hao, Hongxia |
| Subject: | high-frequency data | microstructure noise | nonparametric estimation | Volatility function | Volatilität | Volatility | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Schätzung | Estimation | Noise Trading | Noise trading | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0217590820500721 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014500398