Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Nikolaus Hautsch, Mark Podolskij
| Year of publication: |
2013
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|---|---|
| Authors: | Hautsch, Nikolaus ; Podolskij, Mark |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 31.2013, 2, p. 165-183
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| Subject: | High frequency data | Jump diffusions | Power variations | Sampling schemes | Volatility estimation | Volatilität | Volatility | Schätzung | Estimation | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10009754008