Econometrics of co-jumps in high-frequency data with noise
Year of publication: |
2015
|
---|---|
Authors: | Bibinger, Markus ; Winkelmann, Lars |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 184.2015, 2, p. 361-378
|
Publisher: |
Elsevier |
Subject: | Co-jumps | Covolatility estimation | Microstructure noise | Non-synchronous observations | Truncation |
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