Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
Year of publication: |
2014
|
---|---|
Authors: | Barunik, Jozef ; Vácha, Lukáš |
Publisher: |
Kiel : Univ. |
Subject: | quadratic variation | realized variance | jumps | market microstructure noise | wavelets | Marktmikrostruktur | Market microstructure | Varianzanalyse | Analysis of variance | Noise Trading | Noise trading | Volatilität | Volatility | Schätzung | Estimation | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis |
Extent: | Online-Ressource (34 S.) graph. Darst. |
---|---|
Series: | Finmap working paper. - Kiel : Univ., ZDB-ID 2785854-6. - Vol. 16 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzung: Acrobat Reader |
Other identifiers: | hdl:10419/102280 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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