Showing 1 - 3 of 3
This paper is concerned with the problem of the estimation of the integrated volatility of log-prices based on high frequency data when both price jumps and market microstructure noise are present. We begin by providing a survey of the leading estimators introduced in the literature to tackle...
Persistent link: https://www.econbiz.de/10012903260
Persistent link: https://www.econbiz.de/10012406198
Persistent link: https://www.econbiz.de/10012127219