Microstructure noise in the continuous case: The pre-averaging approach

Stochastic Processes and their Applications

Volumn 119, Issue 7, 2009, Pages 2249-2276

  Jacod, Jean ^a   Li, Yingying ^b   Mykland, Per A ^b   Podolskij, Mark ^c   Vetter, Mathias ^d  

^a INSTITUT DE MATHÉMATIQUES DE JUSSIEU   (France)

^b UNIVERSITY OF CHICAGO   (United States)

^c AARHUS UNIVERSITY   (Denmark)

^d RUHR UNIVERSITY BOCHUM   (Germany)

Author keywords

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

Indexed keywords

CONSISTENCY; CONTINUITY; DISCRETE OBSERVATION; LEVERAGE EFFECT; PRE-AVERAGING; QUARTICITY; REALIZED VOLATILITY; STABLE CONVERGENCE;

ASYMPTOTIC ANALYSIS;

PARAMETER ESTIMATION;

EID: 67349237738     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2008.11.004     Document Type: Article

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