Jump-robust volatility estimation using nearest neighbor truncation (Q527978): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number: 6714718 / rank | |||
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high-frequency data | |||
| Property / zbMATH Keywords: high-frequency data / rank | |||
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integrated variance | |||
| Property / zbMATH Keywords: integrated variance / rank | |||
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finite activity jumps | |||
| Property / zbMATH Keywords: finite activity jumps / rank | |||
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realized volatility | |||
| Property / zbMATH Keywords: realized volatility / rank | |||
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jump robustness | |||
| Property / zbMATH Keywords: jump robustness / rank | |||
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nearest neighbor truncation | |||
| Property / zbMATH Keywords: nearest neighbor truncation / rank | |||
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intraday U-shape patterns | |||
| Property / zbMATH Keywords: intraday U-shape patterns / rank | |||
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Revision as of 08:07, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump-robust volatility estimation using nearest neighbor truncation |
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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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