articleStochastic Processes and their ApplicationsNov 26, 2008Closed access

Microstructure noise in the continuous case: The pre-averaging approach

JJJean JacodYLYingying LiPAPer A. MyklandMPMark PodolskijMVMathias Vetter

Centre National de la Recherche Scientifique · Institut de Mathématiques de Jussieu-Paris Rive Gauche · +3 more institutions

Indexed incrossref

Abstract

No abstract available for this paper.

Citation impact

720
total citations
FWCI
40.54
Percentile
100%
References
42
Citations per year

Authors

5

Topics & keywords

Topics
Keywords
  • Estimator
  • Mathematics
  • Volatility (finance)
  • Rate of convergence
  • Realized variance
  • Applied mathematics
  • Econometrics
  • Stochastic volatility
No related works found for this paper.