Efficient and feasible inference for the components of financial variation using blocked multipower variation
Year of publication: |
2012-02-01
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Authors: | Shephard, Neil ; Sheppard, Kevin |
Institutions: | Department of Economics, Oxford University |
Subject: | Bipower variation | Jumps | Market microstructure noise | Multipower variation | Non-parametric analysis | Quadratic variation | Semimartingale | Volatility | Volatility of volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 593 |
Classification: | C01 - Econometrics ; C02 - Mathematical Methods ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; D53 - Financial Markets ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
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Mykland, Per A., (2012)
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Shephard, Neil, (2012)
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Shephard, Neil, (2012)
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