Are volatility estimators robust with respect to modeling assumptions?

Bernoulli

Volumn 13, Issue 3, 2007, Pages 601-622

  Li, Yingying ^a   Mykland, Per A ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

Bias correction; Local time; Market microstructure; Martingale; Measurement error; Realized volatility; Robustness; Subsampling; Two scales realized volatility (TSRV)

Indexed keywords

EID: 47249116906     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/07-BEJ6067     Document Type: Article

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