A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
Year of publication: |
2011-06
|
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Authors: | Andersen, Torben G. ; Dobrev, Dobrislav ; Schaumburg, Ernst |
Institutions: | National Bureau of Economic Research (NBER) |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | AP published as Andersen, Torben, Dobrislav Dobrev and Ernst Schaumburg. 2014. A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity. Econometric Theory. 30: 3-59. Number 17152 |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G17 - Financial Forecasting |
Source: |
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