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 :
Fourier analysis , Integrated volatility , Microstructure , Optimal sampling , Nonparametric estimation
Journal title :
Computational Statistics and Data Analysis
Serial Year :
2008
Journal title :
Computational Statistics and Data Analysis
Record number :
145726
Link To Document :
https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=145726
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