Microstructure noise in the continuous case
The pre-averaging approach
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Author / Producer
Date
2009-07
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
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Rights / License
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Publication status
published
External links
Editor
Book title
Journal / series
Volume
119 (7)
Pages / Article No.
2249 - 2276
Publisher
Elsevier
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Consistency; Continuity; Discrete observation; Ito process; Leverage effect; Pre-averaging; Quarticity; Realized volatility; Stable convergence
Organisational unit
02204 - RiskLab / RiskLab
Notes
Received 14 December 2007, Revised 8 August 2008, Accepted 3 November 2008, Available online 24 November 2008.