Volatility inference in the presence of both endogenous time and microstructure noise
Year of publication: |
2013
|
---|---|
Authors: | Li, Yingying ; Zhang, Zhiyuan ; Zheng, Xinghua |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 7, p. 2696-2727
|
Publisher: |
Elsevier |
Subject: | Itô process | Realized volatility | Integrated volatility | Time endogeneity | Market microstructure noise |
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