Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models

Rainer Dahlhaus; Jan C. Neddermeyer

Year of publication:	2014
Authors:	Dahlhaus, Rainer ; Neddermeyer, Jan Christoph
Published in:	Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 12.2014, 1, p. 174-212
Subject:	Nonlinear state-space model \| microstructure noise \| sequential EM algorithm \| tick-by-tick data \| random time change \| volatility decomposition \| transaction time \| trading intensity \| Marktmikrostruktur \| Market microstructure \| Volatilität \| Volatility \| Theorie \| Theory \| Noise Trading \| Noise trading \| Zeitreihenanalyse \| Time series analysis \| Nichtlineare Regression \| Nonlinear regression \| Dekompositionsverfahren \| Decomposition method \| Stochastischer Prozess \| Stochastic process \| Wertpapierhandel \| Securities trading \| Zeit \| Time

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010233600