Jump-robust volatility estimation using nearest neighbor truncation (Q527978): Difference between revisions
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Revision as of 17:26, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump-robust volatility estimation using nearest neighbor truncation |
scientific article |
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Jump-robust volatility estimation using nearest neighbor truncation (English)
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12 May 2017
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high-frequency data
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integrated variance
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finite activity jumps
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realized volatility
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jump robustness
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nearest neighbor truncation
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intraday U-shape patterns
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