EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"test to select optimal sampling frequency"
Narrow search

Narrow search

Year of publication
Subject
All
Semimartingales with jumps 1 integrated variance 1 test to select optimal sampling frequency 1 threshold estimation 1
Online availability
All
Free 1
Type of publication
All
Book / Working Paper 1
Language
All
Undetermined 1
Author
All
Mancini, Cecilia 1
Institution
All
Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 1
Published in...
All
Working Papers - Mathematical Economics 1
Source
All
RePEc 1
Showing 1 - 1 of 1
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
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...