Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Qiang Liu and Zhi Liu
| Year of publication: |
2024
|
|---|---|
| Authors: | Liu, Qiang ; Liu, Zhi |
| Subject: | empirical characteristic function | high-frequency data | jumps | jump activity | kernel smoothing | dependent market microstructure noise | pre-averaging | spot volatility | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Stochastischer Prozess | Stochastic process | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/ectj/utae001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015046377