Microstructure noise in the continuous case - Research Collection

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Author

Jacod, Jean

Li, Yingying

Mykland, Per A.

Podolskij, Mark

Vetter, Mathias

Date

2009-07

Type

Journal Article

Citations

Cited 201 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1016/j.spa.2008.11.004

Journal / series

Stochastic Processes and their Applications

Volume

119(7)

Pages / Article No.

2249 - 2276

Publisher

Elsevier

Subject

Consistency; Continuity; Discrete observation; Ito process; Leverage effect; Pre-averaging; Quarticity; Realized volatility; Stable convergence

Notes

Received 14 December 2007, Revised 8 August 2008, Accepted 3 November 2008, Available online 24 November 2008.

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Citations

Cited 201 times in Web of Science

ETH Bibliography

yes

Altmetrics