Quasi-maximum likelihood estimation of volatility with high frequency data

Journal of Econometrics

Volumn 159, Issue 1, 2010, Pages 235-250

  Xiu, Dacheng ^a  

^a PRINCETON UNIVERSITY   (United States)

Author keywords

Integrated volatility; Market microstructure noise; Quasi maximum likelihood estimator; Realized kernels; Stochastic volatility

Indexed keywords

INTEGRATED VOLATILITY; MARKET MICROSTRUCTURE NOISE; QUASI-MAXIMUM LIKELIHOOD ESTIMATOR; REALIZED KERNELS; STOCHASTIC VOLATILITY;

ASYMPTOTIC ANALYSIS; COMMERCE; COMPUTER SIMULATION; ESTIMATION; FREQUENCY ESTIMATION; MICROSTRUCTURE; MONTE CARLO METHODS; SAMPLING; STOCHASTIC SYSTEMS;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 78651264537     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.07.002     Document Type: Article

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