Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
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Publication:3632599
DOI10.1198/016214507000001067zbMath1332.62403OpenAlexW2035298767MaRDI QIDQ3632599
Publication date: 12 June 2009
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/016214507000001067
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)
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