A tale of two time scales: Determining integrated volatility with noisy high-frequency data

Journal of the American Statistical Association

Volumn 100, Issue 472, 2005, Pages 1394-1411

  Zhang, Lan ^a   Mykland, Per A ^b   Aït Sahalia, Yacine ^c  

^a CARNEGIE MELLON UNIVERSITY   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

^c PRINCETON UNIVERSITY   (United States)

Author keywords

Bias correction; Market microstructure; Martingale; Measurement error; Realized volatility; Subsampling

Indexed keywords

EID: 29144451478     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214505000000169     Document Type: Article

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