This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … nonparametric methods. The estimated spot variance path can be used to extend an existing high frequency jump test statistic, to … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

-contaminated high-frequency asset price data, we provide (i) a theory of spot variance estimation and (ii) functional methods for …

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … nonparametric methods. The estimated spot variance path can be used to extend an existing high frequency jump test statistic, to … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

-389.<p> This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … nonparametric methods. The estimated spot variance path can be used to extend an existing high frequency jump test statistic, to … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … nonparametric methods. The estimated spot variance path can be used to extend an existing high frequency jump test statistic, to … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …