Inference for Continuous Semimartingales Observed at High Frequency: A General Approach
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چکیده
منابع مشابه
Inference for Continuous Semimartingales Observed at High Frequency: A General Approach
The econometric literature of high frequency data usually relies on moment estimators which are derived from assuming local constancy of volatility and related quantities. We here show that this first order approximation is not always valid if used näıvely. We find that such approximations require an ex post adjustment involving asymptotic likelihood ratios. These are given. Several examples (p...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1030851