Jump-robust volatility estimation using nearest neighbor truncation (Q527978)

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Jump-robust volatility estimation using nearest neighbor truncation
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    Jump-robust volatility estimation using nearest neighbor truncation (English)
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    12 May 2017
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    high-frequency data
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    integrated variance
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    finite activity jumps
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    realized volatility
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    jump robustness
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    nearest neighbor truncation
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    intraday U-shape patterns
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