The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Kim Christensen, Martin Thyrsgaard, Bezirgen Veliyev
| Year of publication: |
2019
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|---|---|
| Authors: | Christensen, Kim ; Thyrsgaard, Martin ; Veliyev, Bezirgen |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 212.2019, 2, p. 556-583
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| Subject: | Empirical processes | Goodness-of-fit | High-frequency data | Microstructure noise | Pre-averaging | Realized variance | Stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Marktmikrostruktur | Market microstructure | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.06.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012304092