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Testing for jumps with robust spot volatility estimators - MaRDI portal

Testing for jumps with robust spot volatility estimators

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Publication:6490929

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DOI10.1111/stan.12306MaRDI QIDQ6490929

Yucheng Sun

Publication date: 23 April 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

jumps high-frequency data robust estimation market microstructure noise spot volatility two-scales estimator

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx) Nonparametric inference (62Gxx)

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