On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7484546
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On the estimation of integrated volatility in the presence of jumps and microstructure noise |
scientific article; zbMATH DE number 7484546 |
Statements
On the estimation of integrated volatility in the presence of jumps and microstructure noise (English)
0 references
4 March 2022
0 references
integrated volatility
0 references
jumps
0 references
market microstructure noise
0 references
realized kernel estimator
0 references
two-scales realized volatility estimator
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8882505893707275
0 references
0.8636347651481628
0 references
0.861212968826294
0 references
0.859637975692749
0 references
0.8584394454956055
0 references
