Estimating the jump activity index under noisy observations using high-frequency data
Bing-Yi Jing, Xin-Bing Kong, and Zhi Liu
| Year of publication: |
2011
|
|---|---|
| Authors: | Jing, Bingyi ; Kong, Xinbing ; Liu, Zhi |
| Published in: |
Journal of the American Statistical Association : JASA. - Philadelphia, Pa. : Taylor & Francis Group, ISSN 0162-1459, ZDB-ID 207602-0. - Vol. 106.2011, 494, p. 558-568
|
| Subject: | Volatilität | Volatility | Aktienindex | Stock index | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Zeitreihenanalyse | Time series analysis |
| 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/10009267673