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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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method |
scientific article |
Statements
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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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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