The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Per A. Mykland, Lan Zhang, Dachuan Chen
| Year of publication: |
2019
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|---|---|
| Authors: | Mykland, Per A. ; Zhang, Lan ; Chen, Dachuan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 208.2019, 1, p. 101-119
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| Subject: | Asynchronous times | Consistency | Discrete observation | Efficiency | Endogenous times | Equivalent martingale measure | Irregular times | Itô process | Leads and lags | Leverage effect | Microstructure | Pre-averaging | Realized volatility | Robust estimation | Stable convergence | Two scales estimation | Volatilität | Volatility | Schätztheorie | Estimation theory | Robustes Verfahren | Robust statistics | Schätzung | Estimation | Stichprobenerhebung | Sampling | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Zeit | Time | Kapitaleinkommen | Capital income | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.09.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012139798