activity
20052023
most citedAsymptotic equivalence for inference on the volatility from noisy observations

91 citations · 585 across the 27 of their papers we have counts for

collaborators
Showing 2010Show all

1 paper · 1 filter

math.ST2010

Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

Markus Reiß

The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model…