Spot volatility estimation using delta sequences
Cecilia Mancini, Vanessa Mattiussi, Roberto Renò
| Year of publication: |
April 2015
|
|---|---|
| Authors: | Mancini, Cecilia ; Mattiussi, Vanessa ; Renò, Roberto |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 19.2015, 2, p. 261-293
|
| Subject: | Spot volatility | High-frequency data | Microstructure noise | Dirac delta | Fourier estimator | Volatilität | Volatility | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Noise Trading | Noise trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-015-0255-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011417938