On the estimation of integrated volatility in the presence of jumps and microstructure noise
Christian Brownlees, Eulalia Nualart, and Yucheng Sun
| Year of publication: |
2020
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| Authors: | Brownlees, Christian ; Nualart, Eulalia ; Sun, Yucheng |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 39.2020, 10, p. 991-1013
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| Subject: | Integrated volatility | jumps | market microstructure noise | realized kernel estimator | two-scales realized volatility estimator | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Nichtparametrisches Verfahren | Nonparametric statistics | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2020.1735751 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012406198