Realized range-based estimation of integrated variance
- Author
- CHRISTENSEN, Kim1 ; PODOLSKIJ, Mark2
[1] Department of Marketing and Statistics, Aarhus School of Business, Haslegaardsvej 10, 8210 Aarhus, Denmark
[2] Department of Probability and Statistics, Ruhr University of Bochum, Universitätstrasse 150, 44780 Bochum, Germany - Source
Journal of econometrics. 2007, Vol 141, Num 2, pp 323-349, 27 p ; ref : 1 p.1/2
- CODEN
- JECMB6
- ISSN
- 0304-4076
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- C10; C80 Central limit theorem; Continuous semimartingales; Integrated variance; Realized range-based variance; Realized variance
- Keyword (fr)
- Analyse covariance Analyse donnée Analyse variance Donnée discrète Donnée économique Econométrie Efficacité estimateur Erreur systématique Estimateur convergent Estimation biaisée Estimation statistique Méthode statistique Problème mixte Régression statistique Semimartingale Variance 60G17 60G48 62J10 Estimation variance Variation quadratique
- Keyword (en)
- Covariance analysis Data analysis Variance analysis Discrete data Economic data Econometrics Estimator efficiency Bias Consistent estimator Biased estimation Statistical estimation Statistical method Mixed problem Statistical regression Semimartingale Variance Variance estimation
- Keyword (es)
- Análisis covariancia Análisis datos Análisis variancia Variable discreta Dato económico Econometría Eficacia estimador Error sistemático Estimador convergente Estimación sesgada Estimación estadística Método estadístico Problema mixto Regresión estadística Semimartingale Variancia
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02J Linear inference, regression
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 19159376
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.jeconom.2006.06.012 
https://dx.doi.org/10.1016/j.jeconom.2006.06.012
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