Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
by Jia Li
| Year of publication: |
2013
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|---|---|
| Authors: | Li, Jia |
| Published in: |
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 81.2013, 4, p. 1673-1693
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| Subject: | Confidence set | high frequency data | jump power variation | market microstructure noise | pre-averaging | semimartingale | uniformity | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Börsenkurs | Share price | Noise Trading | Noise trading | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics | Martingal | Martingale | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009793469