A robust neighborhood truncation approach to estimation of integrated quarticity
Torben G. Andersen; Dobrislav Dobrev; Ernst Schaumburg
| Year of publication: |
2014
|
|---|---|
| Authors: | Andersen, Torben ; Dobrev, Dobrislav ; Schaumburg, Ernst |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 30.2014, 1, p. 3-59
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| Subject: | Robust Neighborhood Truncation Estimator | Functional Filtering | Integrated Quarticity | Inference on Integrated Variance | Inference on Jumps | High-Frequency Data | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Volatilität | Volatility | Elektronisches Handelssystem | Electronic trading | Statistische Verteilung | Statistical distribution | Varianzanalyse | Analysis of variance | Robustes Verfahren | Robust statistics |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010399788