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LIU ZHI [1]
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2018 [1]
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英語English [1]
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JOURNAL OF ECONO... [1]
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Estimating the integrated volatility using high-frequency data with zero durations
Journal article
Liu, Zhi, Kong, Xin-Bing, Jing, Bing-Yi. Estimating the integrated volatility using high-frequency data with zero durations[J]. JOURNAL OF ECONOMETRICS, 2018, 204(1), 18-32.
Authors:
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bing-Yi
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TC[WOS]:
8
TC[Scopus]:
9
IF:
9.9
/
6.7
|
Submit date：2018/10/30
Ito Semimartingale
High Frequency Data
Multiple Transactions
Realized Power Variations
Microstructure Noise
Central Limit Theorem
