Spot variance path estimation and its application to high-frequency jump testing
Charles S. Bos; Paweł Janus; Siem Jan Koopman
| Year of publication: |
2012
|
|---|---|
| Authors: | Bos, Charles S. ; Janus, Paweł ; Koopman, Siem Jan |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 10.2012, 2, p. 354-389
|
| Subject: | Schätztheorie | Estimation theory | Schätzung | Estimation | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10009540536