2 papers
math.CA2025
The Fourier Ratio: Uncertainty, Restriction, and Approximation for Compactly Supported Measures
A. Iosevich, Z. Li, E. Palsson +1
We introduce a continuous analog of the Fourier ratio for compactly supported Borel measures. For a measure \(μ\) on \(\mathbb{R}^d\) and \(f\in L^2(μ)\), the Fourier ratio compare…
math.ST2017
Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data
Z. Merrick Li, Roger J. A. Laeven, Michel H. Vellekoop
In this paper, we develop econometric tools to analyze the integrated volatility of the efficient price and the dynamic properties of microstructure noise in high-frequency data un…