Efficient estimation of stochastic volatility using noisy observations: A multi-scale approach

Bernoulli

Volumn 12, Issue 6, 2006, Pages 1019-1043

  Zhang, Lan ^a  

^a UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

Author keywords

Consistency; Dependent noise; Discrete observation; Efficiency; It process; Microstructure noise; Observation error; Rate of convergence; Realized volatility

Indexed keywords

EID: 33845324331     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1165269149     Document Type: Article

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