Spot variance path estimation and its application to high-frequency jump testing
Year of publication: |
2012
|
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Authors: | Bos, Charles S. ; Janus, Paweł ; Koopman, Siem Jan |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 10.2012, 2, p. 354-389
|
Subject: | Volatilität | Volatility | Schätzung | Estimation | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Varianzanalyse | Analysis of variance |
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