Real-time scheme for the volatility estimation in the presence of microstructure noise.

Shigeyoshi Ogawa

Published in: Monte Carlo Methods Appl. (2008)

Keyphrases

real time
low cost
accurate estimation
noise model
random noise
stock market
signal to noise ratio
control system
filtering method
estimation accuracy
additive noise
robust estimation
estimation error
noise level
missing data
exchange rate
noise free
carrier frequency offset