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Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise (2010)

First Author: Olhede S

Attributed to: Network on multiScale Information, RePresentatIon and Estimation -- (INSPIRE) funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1137/090756363

Publication URI: http://dx.doi.org/10.1137/090756363

Type: Journal Article/Review

Parent Publication: Multiscale Modeling & Simulation

Issue: 2