Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396)
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scientific article; zbMATH DE number 6592765
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| English | Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach |
scientific article; zbMATH DE number 6592765 |
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Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (English)
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13 June 2016
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swap variance
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jumps
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bi-power variation
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market microstructure noise
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0.8843841552734375
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0.8766065239906311
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0.8607001900672913
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0.8541153073310852
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0.8445495963096619
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