Common price and volatility jumps in noisy high-frequency data

DOI10.1214/18-EJS1444zbMath1398.62281MaRDI QIDQ1657876

Markus Bibinger, Lars Winkelmann

Publication date: 14 August 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1529308886

zbMATH Keywords

high-frequency datavolatility jumpsmicrostructure noisenonparametric volatility estimation

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

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