Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Year of publication: |
2010-07-01
|
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Authors: | Hautsch, Nikolaus ; Podolskij, Mark |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Quadratic Variation | MarketMicrostructure Noise | Pre-averaging | Sampling Schemes | Jumps |
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