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Keyword: realised volatility;
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Ilze Kalnina and Oliver Linton
We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Poli...Read more...
September 2007
We propose an econometric model that captures the e¤ects of market microstructure on a latent price process. In particular, we allow for correlation between the measurement error and the return process and we allow the m...Read more...
October 2006