Jump-robust volatility estimation using nearest neighbor truncation (Q527978): Difference between revisions
From MaRDI portal
Changed an Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 07:26, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump-robust volatility estimation using nearest neighbor truncation |
scientific article |
Statements
Jump-robust volatility estimation using nearest neighbor truncation (English)
0 references
12 May 2017
0 references
high-frequency data
0 references
integrated variance
0 references
finite activity jumps
0 references
realized volatility
0 references
jump robustness
0 references
nearest neighbor truncation
0 references
intraday U-shape patterns
0 references
