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  • Search: subject:"Optimal sampling frequency"
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Year of publication
Subject
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integrated variance 2 Aktienmarkt 1 Analysis of variance 1 Emerging economies 1 Estimation 1 Estimation theory 1 Financial market 1 Finanzmarkt 1 Market microstructure 1 Marktmikrostruktur 1 Noise Trading 1 Noise trading 1 Sampling 1 Schwellenländer 1 Schätztheorie 1 Schätzung 1 Semimartingales with jumps 1 Stichprobenerhebung 1 Stock market 1 Varianzanalyse 1 Volatility 1 Volatilität 1 emerging stock market 1 jumps 1 microstructure noise 1 optimal sampling frequency 1 test to select optimal sampling frequency 1 threshold estimation 1 two-time scale estimator 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Arnerić, Josip 1 Mancini, Cecilia 1 Matković, Mario 1
Institution
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Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 1
Published in...
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Working Papers - Mathematical Economics 1 Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Challenges of integrated variance estimation in emerging stock markets
Arnerić, Josip; Matković, Mario - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 37 (2019) 2, pp. 713-739
Persistent link: https://www.econbiz.de/10012213665
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Cover Image
Measuring the relevance of the microstructure noise in financial data
Mancini, Cecilia - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2012
We show that the Truncated Realized Variance (TRV) of a semimartingale asset price converges to zero when observations are contaminated by microstructure noises. Under the additive iid noise assumption, a central limit theorem is also proved. In consequence it is possible to construct a feasible...
Persistent link: https://www.econbiz.de/10010734988
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