Realised quantile-based estimation of the integrated variance - Research Collection

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Autor(in)

Christensen, Kim

Podolskij, Mark

Datum

2010-11

Typ

Journal Article

Zitate

51 Zitate in Web of Science

ETH Bibliographie

yes

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Publikationsstatus

published

Externe Links

https://doi.org/10.1016/j.jeconom.2010.04.008

Zeitschrift / Serie

Journal of Econometrics

Band

159(1)

Seiten / Artikelnummer

74 - 98

Verlag

Elsevier

Thema

Finite activity jumps; Market microstructure noise; Order statistics; Outliers; Realised variance

Organisationseinheit

03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)

Anmerkungen

Received 7 January 2010, Revised 7 January 2010, Accepted 30 April 2010, Available online 10 May 2010.

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Zitate

51 Zitate in Web of Science

ETH Bibliographie

yes

Altmetrics