Jump-robust volatility estimation using nearest neighbor truncation
Year of publication: |
2012
|
---|---|
Authors: | Andersen, Torben ; Dobrev, Dobrislav ; Schaumburg, Ernst |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 169.2012, 1, p. 75-93
|
Subject: | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
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