Nonparametric estimation of jump characteristics under market microstructure noise

DOI10.1080/03610918.2015.1096382zbMath1368.62270OpenAlexW2528789560MaRDI QIDQ4976548

Bo Zhang, Chao Yu, Xujie Zhao

Publication date: 31 July 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1096382

zbMATH Keywords

high-frequency datathresholdmicrostructure noisepre-averagingjump characteristics

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

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