Nonparametric estimation of jump characteristics under market microstructure noise (Q4976548)
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scientific article; zbMATH DE number 6755059
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| English | Nonparametric estimation of jump characteristics under market microstructure noise |
scientific article; zbMATH DE number 6755059 |
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Nonparametric estimation of jump characteristics under market microstructure noise (English)
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31 July 2017
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high-frequency data
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jump characteristics
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microstructure noise
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pre-averaging
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threshold
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0.8511226773262024
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0.833437979221344
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0.8319823741912842
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0.8316173553466797
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0.8069409728050232
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