Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity (Q4638722)
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scientific article; zbMATH DE number 6865502
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| English | Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity |
scientific article; zbMATH DE number 6865502 |
Statements
Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity (English)
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27 April 2018
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central limit theorem
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endogeneity
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high-frequency data
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Itô semimartingale
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jumps
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local average
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microstructure noise
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threshold method
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0.8949717283248901
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0.8711047172546387
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0.859637975692749
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0.8586887121200562
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0.8569883704185486
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