Nonparametric estimation of jump characteristics under market microstructure noise (Q4976548)

From MaRDI portal
scientific article; zbMATH DE number 6755059
Language Label Description Also known as
English
Nonparametric estimation of jump characteristics under market microstructure noise
scientific article; zbMATH DE number 6755059

    Statements

    Nonparametric estimation of jump characteristics under market microstructure noise (English)
    0 references
    0 references
    0 references
    0 references
    31 July 2017
    0 references
    high-frequency data
    0 references
    jump characteristics
    0 references
    microstructure noise
    0 references
    pre-averaging
    0 references
    threshold
    0 references

    Identifiers