Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Yingying Li, Guangying Liu, Zhiyuan Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Li, Yingying ; Liu, Guangying ; Zhang, Zhiyuan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 229.2022, 2, p. 422-451
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| Subject: | Central limit theorem | High frequency data | Microstructure noise | Semimartingale | Volatility of volatility | Volatilität | Volatility | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | 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.2021.02.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441895