Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation
Year of publication: |
2009
|
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Authors: | Andersen, Torben |
Other Persons: | Dobrev, Dobrislav (contributor) ; Schaumburg, Ernst (contributor) |
Publisher: |
[2009]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (37 p) |
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Series: | NBER Working Paper ; No. w15533 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 2009 erstellt |
Source: | ECONIS - Online Catalogue of the ZBW |
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