Jump-robust volatility estimation using nearest neighbor truncation

DOI10.1016/j.jeconom.2012.01.011zbMath1443.62327MaRDI QIDQ527978

Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w15533.pdf

zbMATH Keywords

high-frequency data; realized volatility; integrated variance; finite activity jumps; intraday U-shape patterns; jump robustness; nearest neighbor truncation

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

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