Likelihood-Based Volatility Estimators in the Presence of Market Microstructure Noise

Yacine Aït-Sahalia, Dacheng Xiu

Research output: Chapter in Book/Report/Conference proceedingChapter

5 Scopus citations
Original languageEnglish (US)
Title of host publicationHandbook of Volatility Models and Their Applications
PublisherJohn Wiley and Sons
Pages347-361
Number of pages15
ISBN (Print)9780470872512
DOIs
StatePublished - Mar 27 2012

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance(all)

Keywords

  • Covariance estimation
  • Empirical application, stock and commodity futures
  • Likelihood-based volatility estimators, microstructure noise

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