Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
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Publication:4619499
DOI10.1080/14697688.2015.1032550zbMath1406.91432arXiv1202.1854OpenAlexW2101234526MaRDI QIDQ4619499
Publication date: 6 February 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.1854
Applications of statistics to actuarial sciences and financial mathematics (62P05) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Uses Software
Cites Work
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