Nonparametric likelihood for volatility under high frequency data
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- Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2018. "Nonparametric Likelihood for Volatility Under High Frequency Data," School of Economics Discussion Papers 0318, School of Economics, University of Surrey.
References listed on IDEAS
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More about this item
Keywords
Nonparametric likelihood; Volatility; High frequency data;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-01-31 (Econometrics)
- NEP-MST-2015-01-31 (Market Microstructure)
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