Matches in SemOpenAlex for { <https://semopenalex.org/work/W2150274066> ?p ?o ?g. }
Showing items 1 to 93 of
93
with 100 items per page.
- W2150274066 endingPage "504" @default.
- W2150274066 startingPage "478" @default.
- W2150274066 abstract "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 realized volatility (RV), which is commonly used as an estimator of integrated volatility. We prove the convergence of the RV and scaled RV under varous conditions on the rounding level and the number of observations. A bias-corrected volatility estimator is proposed and an associated central limit theorem is shown. The simulation and empirical results demonstrate that the proposed method can yield substantial statistical improvement." @default.
- W2150274066 created "2016-06-24" @default.
- W2150274066 creator A5026930195 @default.
- W2150274066 creator A5079286679 @default.
- W2150274066 date "2014-02-27" @default.
- W2150274066 modified "2023-10-03" @default.
- W2150274066 title "Rounding Errors and Volatility Estimation" @default.
- W2150274066 cites W1969804920 @default.
- W2150274066 cites W1976924441 @default.
- W2150274066 cites W2003413166 @default.
- W2150274066 cites W2051235503 @default.
- W2150274066 cites W2052274123 @default.
- W2150274066 cites W2064978316 @default.
- W2150274066 cites W2066296733 @default.
- W2150274066 cites W2086828871 @default.
- W2150274066 cites W2125142831 @default.
- W2150274066 cites W2128569377 @default.
- W2150274066 cites W2136215272 @default.
- W2150274066 cites W2140585983 @default.
- W2150274066 cites W2146399390 @default.
- W2150274066 cites W2155727846 @default.
- W2150274066 cites W2171287215 @default.
- W2150274066 cites W2171501853 @default.
- W2150274066 cites W3105648670 @default.
- W2150274066 cites W3121364726 @default.
- W2150274066 cites W3121487129 @default.
- W2150274066 cites W3121650337 @default.
- W2150274066 cites W3121718927 @default.
- W2150274066 cites W3122025015 @default.
- W2150274066 cites W3124218550 @default.
- W2150274066 cites W3124959603 @default.
- W2150274066 cites W3125412410 @default.
- W2150274066 doi "https://doi.org/10.1093/jjfinec/nbu005" @default.
- W2150274066 hasPublicationYear "2014" @default.
- W2150274066 type Work @default.
- W2150274066 sameAs 2150274066 @default.
- W2150274066 citedByCount "20" @default.
- W2150274066 countsByYear W21502740662014 @default.
- W2150274066 countsByYear W21502740662015 @default.
- W2150274066 countsByYear W21502740662017 @default.
- W2150274066 countsByYear W21502740662018 @default.
- W2150274066 countsByYear W21502740662019 @default.
- W2150274066 countsByYear W21502740662020 @default.
- W2150274066 countsByYear W21502740662021 @default.
- W2150274066 countsByYear W21502740662022 @default.
- W2150274066 countsByYear W21502740662023 @default.
- W2150274066 crossrefType "journal-article" @default.
- W2150274066 hasAuthorship W2150274066A5026930195 @default.
- W2150274066 hasAuthorship W2150274066A5079286679 @default.
- W2150274066 hasBestOaLocation W21502740662 @default.
- W2150274066 hasConcept C105795698 @default.
- W2150274066 hasConcept C111919701 @default.
- W2150274066 hasConcept C136625980 @default.
- W2150274066 hasConcept C149782125 @default.
- W2150274066 hasConcept C162324750 @default.
- W2150274066 hasConcept C166785042 @default.
- W2150274066 hasConcept C185429906 @default.
- W2150274066 hasConcept C33923547 @default.
- W2150274066 hasConcept C41008148 @default.
- W2150274066 hasConcept C91602232 @default.
- W2150274066 hasConceptScore W2150274066C105795698 @default.
- W2150274066 hasConceptScore W2150274066C111919701 @default.
- W2150274066 hasConceptScore W2150274066C136625980 @default.
- W2150274066 hasConceptScore W2150274066C149782125 @default.
- W2150274066 hasConceptScore W2150274066C162324750 @default.
- W2150274066 hasConceptScore W2150274066C166785042 @default.
- W2150274066 hasConceptScore W2150274066C185429906 @default.
- W2150274066 hasConceptScore W2150274066C33923547 @default.
- W2150274066 hasConceptScore W2150274066C41008148 @default.
- W2150274066 hasConceptScore W2150274066C91602232 @default.
- W2150274066 hasIssue "2" @default.
- W2150274066 hasLocation W21502740661 @default.
- W2150274066 hasLocation W21502740662 @default.
- W2150274066 hasLocation W21502740663 @default.
- W2150274066 hasOpenAccess W2150274066 @default.
- W2150274066 hasPrimaryLocation W21502740661 @default.
- W2150274066 hasRelatedWork W2070631162 @default.
- W2150274066 hasRelatedWork W2267037803 @default.
- W2150274066 hasRelatedWork W2272989938 @default.
- W2150274066 hasRelatedWork W2990266878 @default.
- W2150274066 hasRelatedWork W3122498106 @default.
- W2150274066 hasRelatedWork W3125273850 @default.
- W2150274066 hasRelatedWork W3154134185 @default.
- W2150274066 hasRelatedWork W3212291315 @default.
- W2150274066 hasRelatedWork W4327510977 @default.
- W2150274066 hasRelatedWork W46605827 @default.
- W2150274066 hasVolume "13" @default.
- W2150274066 isParatext "false" @default.
- W2150274066 isRetracted "false" @default.
- W2150274066 magId "2150274066" @default.
- W2150274066 workType "article" @default.