Threshold bipower variation and the impact of jumps on volatility forecasting

DOI10.1016/j.jeconom.2010.07.008zbMath1441.62656OpenAlexW3124336248MaRDI QIDQ737246

Roberto Renò, Fulvio Corsi, Davide Pirino

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/4435/1/CorsiPirinoReno_TBV_sub2010.pdf

zbMATH Keywords

financial markets threshold estimation jump detection volatility forecasting volatility estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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