Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (Q4619499)

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scientific article; zbMATH DE number 7013622
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Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
scientific article; zbMATH DE number 7013622

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    Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (English)
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    6 February 2019
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    quadratic variation
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    realized variance
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    market microstructure noise
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    wavelets
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