Adaptive estimation of continuous-time regression models using high-frequency data

Published 2017 View Full Article

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Title
Adaptive estimation of continuous-time regression models using high-frequency data
Authors
Keywords
Adaptive estimation, Beta, Stochastic volatility, Spot variance, Semiparametric efficiency, High-frequency data
Journal
JOURNAL OF ECONOMETRICS
Volume 200, Issue 1, Pages 36-47
Publisher
Elsevier BV
Online
2017-05-31
DOI
10.1016/j.jeconom.2017.01.010

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