Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method (Q2864828)
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scientific article; zbMATH DE number 6232899
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| English | Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method |
scientific article; zbMATH DE number 6232899 |
Statements
26 November 2013
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confidence set
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high frequency data
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jump power variation
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market microstructure noise
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pre-averaging
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semimartingale
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uniformity
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Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method (English)
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0.8590831160545349
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0.8448549509048462
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0.8319823741912842
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0.8257514834403992
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0.8250912427902222
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