Volatility and covariation estimation when microstructure noise and trading times are endogenous

Mathematical Finance

Volumn 22, Issue 1, 2012, Pages 133-164

  Robert, Christian Yann ^a   Rosenbaum, Mathieu ^b  

^a CREST   (France)

^b ECOLE POLYTECHNIQUE   (France)

Author keywords

Asynchronous data; Covariation; Endogenous trading times; Martingales; Microstructure noise; Stopping times; Ultra high frequency data; Volatility

Indexed keywords

EID: 84856028776     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2010.00454.x     Document Type: Article

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