Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
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Cited in
(11)- Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy high-frequency data
- Estimating the integrated volatility using high-frequency data with zero durations
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Volatility estimation and jump testing via realized information variation
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Jump-robust volatility estimation using dynamic dual-domain integration method
- scientific article; zbMATH DE number 7710538 (Why is no real title available?)
- Are volatility estimators robust with respect to modeling assumptions?
- Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
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