On the Estimation of Integrated Volatility With Jumps and Microstructure Noise

DOI10.1080/07350015.2014.906350MaRDI QIDQ6666983zbMATH OpenFDO

Authors Bing-Yi Jing, Zhi Liu, Xin-Bing Kong

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2014.906350

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited in

(1)

• Estimating spot volatility under infinite variation jumps with dependent market microstructure noise

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