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
Keywords :
Microstructure , Optimal sampling , Nonparametric estimation , Integrated volatility , Fourier analysis
Journal title :
Computational Statistics and Data Analysis
Journal title :
Computational Statistics and Data Analysis
