Nopporn Thamrongrat

Heidelberg University

Grabengasse 1

Heidelberg, 69117

Germany

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Scholarly Papers (1)

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Inference from High-Frequency Data: A Subsampling Approach

Journal of Econometrics, Forthcoming
Number of pages: 73 Posted: 26 Sep 2015 Last Revised: 19 Jul 2016
Kim Christensen, Mark Podolskij, Nopporn Thamrongrat and Bezirgen Veliyev
Aarhus University - CREATES, Aarhus University - School of Economics and Management, Heidelberg University and Aarhus University
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Citation 4

Abstract:

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bipower variation; high-frequency data; microstructure noise; positive semi-definite estimation; pre-averaging; stochastic volatility; subsampling