Jump-robust volatility estimation using nearest neighbor truncation
Year of publication: |
2010
|
---|---|
Authors: | Andersen, Torben G. ; Dobrev, Dobrislav ; Schaumburg, Ernst |
Publisher: |
New York, NY : Federal Reserve Bank of New York |
Subject: | Integrated volatility | jump robust |
Series: | Staff Report ; 465 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 635904365 [GVK] hdl:10419/60837 [Handle] |
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: |
-
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben G., (2012)
-
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
Andersen, Torben G., (2009)
-
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
Andersen, Torben G., (2011)
- More ...
-
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
Andersen, Torben G., (2014)
-
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben G., (2012)
-
Duration-Based Volatility Estimation
Andersen, Torben G., (2009)
- More ...