Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
Year of publication: |
2009-10-31
|
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Authors: | Andersen, Torben G. ; Dobrev, Dobrislav ; Schaumburg, Ernst |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | High-frequency data | Integrated variance | Finite activity jumps | Realized volatility | Jump robustness | Nearest neighbor truncation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 3 pages long |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C80 - Data Collection and Data Estimation Methodology; Computer Programs. General ; G10 - General Financial Markets. General |
Source: |
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Andersen, Torben G., (2012)
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A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
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A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
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Jump-robust volatility estimation using nearest neighbor truncation
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