Testing for jumps with robust spot volatility estimators

DOI10.1111/STAN.12306MaRDI QIDQ6490929FDOQ6490929

Authors: Yucheng Sun 

Publication date: 23 April 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

jumpsrobust estimationhigh-frequency datamarket microstructure noisespot volatilitytwo-scales estimator

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

Cites Work

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