Jump-robust volatility estimation using nearest neighbor truncation
| Year of publication: |
2012
|
|---|---|
| Authors: | Andersen, Torben G. ; Dobrev, Dobrislav ; Schaumburg, Ernst |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 1848616. - Vol. 169.2012, 1, p. 75-94
|