Jump-robust volatility estimation using nearest neighbor truncation
Torben G. Andersen; Dobrislav Dobrev; Ernst Schaumburg
| Year of publication: |
2012
|
|---|---|
| Authors: | Andersen, Torben ; Dobrev, Dobrislav ; Schaumburg, Ernst |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 169.2012, 1, p. 75-93
|
| Subject: | Volatilität | Volatility | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Prognoseverfahren | Forecasting model | 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/10009666722