Jump-robust volatility estimation using nearest neighbor truncation (Q527978): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6714718
@@ Property / zbMATH DE Number: 6714718 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+high-frequency data
@@ Property / zbMATH Keywords: high-frequency data / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+integrated variance
@@ Property / zbMATH Keywords: integrated variance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite activity jumps
@@ Property / zbMATH Keywords: finite activity jumps / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+realized volatility
@@ Property / zbMATH Keywords: realized volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump robustness
@@ Property / zbMATH Keywords: jump robustness / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+nearest neighbor truncation
@@ Property / zbMATH Keywords: nearest neighbor truncation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+intraday U-shape patterns
@@ Property / zbMATH Keywords: intraday U-shape patterns / rank @@
+Normal rank
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W3125722875
@@ Property / OpenAlex ID: W3125722875 / rank @@
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@@ Property / cites work @@
+Volatility estimators for discretely sampled Lévy processes
+Normal rank
@@ Property / cites work @@
+Ultra high frequency volatility estimation with dependent microstructure noise
+Normal rank
@@ Property / cites work @@
+No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
+Normal rank
@@ Property / cites work @@
+Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
+Normal rank
@@ Property / cites work @@
+A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
+Normal rank
@@ Property / cites work @@
+Q5493536
@@ Property / cites work: Q5493536 / rank @@
+Normal rank
@@ Property / cites work @@
+LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
+Normal rank
@@ Property / cites work @@
+Realized kernels in practice: trades and quotes
@@ Property / cites work: Realized kernels in practice: trades and quotes / rank @@
+Normal rank
@@ Property / cites work @@
+Power Variation and Time Change
@@ Property / cites work: Power Variation and Time Change / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for multipower variation in the presence of jumps
+Normal rank
@@ Property / cites work @@
+Realised quantile-based estimation of the integrated variance
+Normal rank
@@ Property / cites work @@
+Realized range-based estimation of integrated variance
+Normal rank
@@ Property / cites work @@
+Threshold bipower variation and the impact of jumps on volatility forecasting
+Normal rank
@@ Property / cites work @@
+Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
+Normal rank
@@ Property / cites work @@
+Q4856610
@@ Property / cites work: Q4856610 / rank @@
+Normal rank
@@ Property / cites work @@
+Realized Volatility: A Review
@@ Property / cites work: Realized Volatility: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+Inference for Continuous Semimartingales Observed at High Frequency
+Normal rank
@@ Property / cites work @@
+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:527978