Essays on high-frequency financial econometric

This dissertation consists of three papers contributing to the theory of estimation and inference of high-frequency financial data. In the second chapter, a general framework is introduced for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, high...

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Bibliographic Details
Main Author: LI, Qiyuan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
Online Access:https://ink.library.smu.edu.sg/etd_coll/607
https://ink.library.smu.edu.sg/context/etd_coll/article/1605/viewcontent/Dissertation_Qiyuan.pdf
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Institution: Singapore Management University
Language: English