Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016)
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scientific article; zbMATH DE number 5815949
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| English | Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps |
scientific article; zbMATH DE number 5815949 |
Statements
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (English)
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12 November 2010
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bipower variation
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central limit theorem
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finite activity jumps
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high-frequency data
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integrated volatility
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microstructure noise
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semimartingale theory
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subsampling
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0.8743703961372375
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0.8724188804626465
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0.8660581707954407
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0.8421845436096191
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0.8391647338867188
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