Jump-robust volatility estimation using nearest neighbor truncation (Q527978)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Jump-robust volatility estimation using nearest neighbor truncation |
scientific article; zbMATH DE number 6714718
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump-robust volatility estimation using nearest neighbor truncation |
scientific article; zbMATH DE number 6714718 |
Statements
Jump-robust volatility estimation using nearest neighbor truncation (English)
0 references
12 May 2017
0 references
high-frequency data
0 references
integrated variance
0 references
finite activity jumps
0 references
realized volatility
0 references
jump robustness
0 references
nearest neighbor truncation
0 references
intraday U-shape patterns
0 references
0 references
0 references
