Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method
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Publication:2864828
DOI10.3982/ECTA10534zbMath1408.91086OpenAlexW1945835658MaRDI QIDQ2864828
Publication date: 26 November 2013
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta10534
uniformitysemimartingalehigh frequency dataconfidence setmarket microstructure noisepre-averagingjump power variation
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