Convergence rate for integrated self-weighted volatility by using intraday high-frequency data with noise
High-frequency financial data are becoming increasingly available and need to be analyzed under the current circumstances for the market prices of stocks, currencies, risk analysis, portfolio management and other financial instruments. An emblematic challenge in econometrics is estimating the integr...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-11-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.20231590?viewType=HTML |