On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024)
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scientific article; zbMATH DE number 7484546
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| English | On the estimation of integrated volatility in the presence of jumps and microstructure noise |
scientific article; zbMATH DE number 7484546 |
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On the estimation of integrated volatility in the presence of jumps and microstructure noise (English)
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4 March 2022
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integrated volatility
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jumps
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market microstructure noise
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realized kernel estimator
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two-scales realized volatility estimator
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0.8882505893707275
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0.8636347651481628
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0.861212968826294
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0.859637975692749
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0.8584394454956055
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