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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Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method
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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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    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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