scholarly journals Lower bounds for volatility estimation in microstructure noise models

2010 ◽  
pp. 43-55 ◽  
Author(s):  
Axel Munk ◽  
Johannes Schmidt-Hieber
Keyword(s):  
Lower Bounds ◽  
Microstructure Noise ◽  
Volatility Estimation ◽  
Noise Models

scholarly journals Ultra high frequency volatility estimation with dependent microstructure noise

2011 ◽  
Vol 160 (1) ◽  
pp. 160-175 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Per A. Mykland ◽  
Lan Zhang
Keyword(s):  
High Frequency ◽  
Microstructure Noise ◽  
Volatility Estimation ◽  
Ultra High Frequency
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