Jump-robust volatility estimation using nearest neighbor truncation

Torben G. Andersen; Dobrislav Dobrev; Ernst Schaumburg

Year of publication:	2009
Authors:	Andersen, Torben ; Dobrev, Dobrislav ; Schaumburg, Ernst
Publisher:	Cambridge, Mass.
Subject:	Zeitreihenanalyse \| Time series analysis \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Stichprobenerhebung \| Sampling \| Schätztheorie \| Estimation theory

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