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Search: subject:"Time endogeneity"
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Time endogeneity
3
Estimation theory
2
Sampling
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Schätztheorie
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Stichprobenerhebung
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Time series analysis
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Zeitreihenanalyse
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Asymptotic bias
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Asynchronous times
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Correlation
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Economy of time
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Endogenous model
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Hayashi-Yoshida estimator
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High frequency data
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High-frequency data
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Integrated volatility
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Itô process
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Korrelation
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Laplace transform
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Market microstructure noise
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Quadratic covariation
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Realized volatility
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Schätzung
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Time
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English
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Cui, Wenhao
1
Li, Yingying
1
Mykland, Per A.
1
Potiron, Yoann
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Zhang, Zhiyuan
1
Zheng, Xinghua
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of econometrics
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Stochastic Processes and their Applications
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ECONIS (ZBW)
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Laplace estimator of integrated volatility when sampling times are endogenous
Cui, Wenhao
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 651-663
Persistent link: https://www.econbiz.de/10013534035
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2
Estimation of integrated quadratic covariation with endogenous sampling times
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 20-41
Persistent link: https://www.econbiz.de/10011818337
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3
Volatility inference in the presence of both endogenous time and microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Zheng, Xinghua
- In:
Stochastic Processes and their Applications
123
(
2013
)
7
,
pp. 2696-2727
that our estimator can have substantially better performance when
time
endogeneity
exists. …
Persistent link: https://www.econbiz.de/10010666234
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