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Search: subject:"Intraday U-shape patterns"
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Finite activity jumps
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High-frequency data
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Integrated variance
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Intraday U-shape patterns
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Jump robustness
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Nearest neighbor truncation
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Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben G.
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Journal of Econometrics
169
(
2012
)
1
,
pp. 75-93
volatility, including diurnal (
intraday
)
U-shape
patterns
. An empirical investigation of the Dow Jones 30 stocks and extensive …
Persistent link: https://www.econbiz.de/10011052266
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