Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps
Year of publication: |
2006
|
---|---|
Authors: | Vetter, Mathias ; Podolskij, Mark |
Institutions: | Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund |
Subject: | Bipower Variation | Central Limit Theorem | Finite Activity Jumps | High-Frequency Data | Integrated Volatility | Microstructure Noise |
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Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps
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