Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
Year of publication: |
November 2009
|
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Authors: | Andersen, Torben G. |
Other Persons: | Dobrev, Dobrislav (contributor) ; Schaumburg, Ernst (contributor) |
Institutions: | National Bureau of Economic Research (contributor) |
Publisher: |
Cambridge, Mass : National Bureau of Economic Research |
Subject: | Volatilität | Volatility | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource |
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Series: | NBER working paper series ; no. w15533 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers. |
Other identifiers: | 10.3386/w15533 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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