Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (Q3632599)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data |
scientific article |
Statements
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (English)
0 references
12 June 2009
0 references
diffusion
0 references
integrated volatility
0 references
jump variation
0 references
market microstructure noise
0 references
wavelets
0 references
