Change-point inference on volatility in noisy Itô semimartingales (Q2280017)
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scientific article; zbMATH DE number 7143929
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| English | Change-point inference on volatility in noisy Itô semimartingales |
scientific article; zbMATH DE number 7143929 |
Statements
Change-point inference on volatility in noisy Itô semimartingales (English)
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17 December 2019
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change-point analysis
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high-frequency data
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market microstructure
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volatility estimation
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volatility jump
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0.8577183485031128
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0.7910956740379333
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0.787046492099762
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0.7855783700942993
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0.7803784012794495
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