Estimating the jump activity index under noisy observations using high-frequency data
Year of publication: |
2011
|
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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 |
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