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J-GLOBAL ID：201902211846152156   Reference number：19S1666755

Asymptotics of realized volatility with non-Gaussian ARCH(∞) microstructure noise

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Author (4)：
Taniai, Hiroyuki

About Taniai, Hiroyuki

(School of International Liberal Studies, Waseda University)

About School of International Liberal Studies, Waseda University

, 
Usami, Takashi

About Usami, Takashi

(School of Fundamental Science and Engineering, Waseda University)

About School of Fundamental Science and Engineering, Waseda University

, 
Suto, Nobuyuki

About Suto, Nobuyuki

(School of Fundamental Science and Engineering, Waseda University)

About School of Fundamental Science and Engineering, Waseda University

, 
Taniguchi, Masanobu

About Taniguchi, Masanobu

(School of Fundamental Science and Engineering, Waseda University)

About School of Fundamental Science and Engineering, Waseda University


Material：
Journal of Financial Econometrics

About Journal of Financial Econometrics


Volume： 10  Issue： 4  Page： 617-636  Publication year： 2012 
JST Material Number： SCOPUS  ISSN： 1479-8409 
Country of issue： United Kingdom (GBR)  Language： English (EN)

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