Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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+M07
@@ Property / Mathematics Subject Classification ID: 62M07 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+J75
@@ Property / Mathematics Subject Classification ID: 60J75 / rank @@
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@@ Property / zbMATH DE Number @@
+6592765
@@ Property / zbMATH DE Number: 6592765 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+swap variance
@@ Property / zbMATH Keywords: swap variance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jumps
@@ Property / zbMATH Keywords: jumps / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+bi-power variation
@@ Property / zbMATH Keywords: bi-power variation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+market microstructure noise
@@ Property / zbMATH Keywords: market microstructure noise / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+https://doi.org/10.1016/j.jeconom.2008.04.009
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+W3124788295
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@@ Property / cites work @@
+Testing for jumps in a discretely observed process
+Normal rank
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+Ultra high frequency volatility estimation with dependent microstructure noise
+Normal rank
@@ Property / cites work @@
+On the functional estimation of jump-diffusion models.
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+Q5493536
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@@ links / mardi / name / links / mardi / name @@
+Publication:295396