Estimating spot volatility under infinite variation jumps with dependent market microstructure noise (Q6968519)
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scientific article; zbMATH DE number 8055524
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| English | Estimating spot volatility under infinite variation jumps with dependent market microstructure noise |
scientific article; zbMATH DE number 8055524 |
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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise (English)
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24 June 2025
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empirical characteristic function
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high-frequency data
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jumps
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jump activity
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kernel smoothing
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dependent market microstructure noise
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pre-averaging
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spot volatility
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