Econometrics of co-jumps in high-frequency data with noise
Year of publication: |
2015
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Authors: | Bibinger, Markus ; Winkelmann, Lars |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 184.2015, 2, p. 361-378
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Subject: | Co-jumps | Covolatility estimation | Microstructure noise | Non-synchronous observations | Truncation | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Ökonometrie | Econometrics | Schätzung | Estimation |
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