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  • Search: subject:"Inference on Integrated Variance"
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Year of publication
Subject
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Functional Filtering 3 High-Frequency Data 3 Inference on Integrated Variance 3 Integrated Quarticity 3 Analysis of variance 2 Börsenkurs 2 Electronic trading 2 Elektronisches Handelssystem 2 Inference on Jumps 2 Robust Neighborhood Truncation Estimator 2 Robust statistics 2 Robustes Verfahren 2 Share price 2 Statistical distribution 2 Statistische Verteilung 2 Time series analysis 2 Varianzanalyse 2 Volatility 2 Volatilität 2 Zeitreihenanalyse 2 Neighborhood Truncation Estimator 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 3
Author
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Dobrev, Dobrislav 3 Schaumburg, Ernst 3 Andersen, Torben 2 Andersen, Torben G. 1
Institution
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School of Economics and Management, University of Aarhus 1
Published in...
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CREATES Research Papers 1 Econometric theory 1 International finance discussion papers 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2013
Persistent link: https://www.econbiz.de/10009735127
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A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - School of Economics and Management, University of Aarhus - 2011
We provide a first in-depth look at robust estimation of integrated quarticity (IQ) based on high frequency data. IQ is the key ingredient enabling inference about volatility and the presence of jumps in financial time series and is thus of considerable interest in applications. We document the...
Persistent link: https://www.econbiz.de/10009148814
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A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - In: Econometric theory 30 (2014) 1, pp. 3-59
Persistent link: https://www.econbiz.de/10010399788
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