Integrated volatility and round-off error

Bernoulli

Volumn 15, Issue 3, 2009, Pages 687-720

  Rosenbaum, Mathieu ^a  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Diffusion models; High frequency data; Integrated volatility; Microstructure noise; Round off error; Variation methods; Wavelets

Indexed keywords

EID: 72249087780     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/08-BEJ170     Document Type: Article

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