Estimating the integrated volatility with tick observations
Work
Year: 2018
Type: article
Source: Journal of Econometrics
Authors Jean Jacod, Yingying Li, Xinghua Zheng
Institutions Sorbonne Université, Centre National de la Recherche Scientifique, Hong Kong University of Science and Technology, University of Hong Kong
Cites: 36
Cited by: 43
Related to: 10
FWCI: 7.134
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: closed
Funders Research Grants Council, University Grants Committee, Research Grants Council, University Grants Committee, Research Grants Council, University Grants Committee
Grant IDS GRF 16304317, GRF 16305315, GRF 606811