Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations
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Publication:6615477
DOI10.1016/j.spa.2024.104429MaRDI QIDQ6615477
Yuchen Han, B. Cooper Boniece, José E. Figueroa-López
Publication date: 8 October 2024
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
efficiencyhigh-frequency dataItô semimartingaletruncated realized variationsintegrated volatility estimation
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