Estimating Jump Activity Using Multipower Variation

DOI10.1080/07350015.2020.1784745MaRDI QIDQ6620838zbMATH OpenFDO

Authors Aleksey Kolokolov

Publication date 17 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2020.1784745

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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Cited in

(3)

• Jumps or Staleness?
• Realized skewness of oil price returns and the short-term predictability for exchange rate
• Drift Bursts in Pure Jumps: Detection and Application to Bitcoin

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