Rounding Errors and Volatility Estimation.

Financial prices are often discretized--with smallest tick size of one cent, for example. Thus prices involve rounding errors. Rounding errors affect the estimation of volatility, and understanding them is critical, particularly when using high frequency data. We study the asymptotic behavior of rea...

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Publicado en:	Journal of Financial Econometrics Vol. 13; no. 2; pp. 478 - 505
Autores principales:	YINGYING LI, MYKLAND, PER A.
Formato:	Artículo
Publicado:	Oxford University Press / USA Spring2015
Materias:	Market volatility Estimation theory Rounding errors Stochastic convergence Statistical bias
Acceso en línea:	Ver este registro en EBSCOhost