A robust neighborhood truncation approach to estimation of integrated quarticity
Year of publication: |
2014
|
---|---|
Authors: | Andersen, Torben ; Dobrev, Dobrislav ; Schaumburg, Ernst |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 30.2014, 1, p. 3-59
|
Subject: | Robust Neighborhood Truncation Estimator | Functional Filtering | Integrated Quarticity | Inference on Integrated Variance | Inference on Jumps | High-Frequency Data | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Volatilität | Volatility | Elektronisches Handelssystem | Electronic trading | Statistische Verteilung | Statistical distribution | Varianzanalyse | Analysis of variance | Robustes Verfahren | Robust statistics |
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