Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
Work
Year: 2017
Type: article
Abstract: The availability of high frequency financial data has generated a series of estimators based on intra-day data, improving the quality of large areas of financial econometrics. However, estimating the ... more
Source: Econometrica
Authors Per A. Mykland, Lan Zhang
Cites: 64
Cited by: 41
Related to: 10
FWCI: 5.536
Citation percentile (by year/subfield): 95.66
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: bronze