Title of article
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
Author/Authors
M.E. Mancino، نويسنده , , S. Sanfelici، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
24
From page
2966
To page
2989
Keywords
Microstructure , Optimal sampling , Nonparametric estimation , Integrated volatility , Fourier analysis
Journal title
Computational Statistics and Data Analysis
Serial Year
2008
Journal title
Computational Statistics and Data Analysis
Record number
308405
Link To Document