Realized Wavelet-Based Estimation of Integrated Variance and Jumps in the Presence of Noise
Year of publication: |
2017
|
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Authors: | Baruník, Jozef |
Other Persons: | Vacha, Lukas (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Varianzanalyse | Analysis of variance | Theorie | Theory | Noise Trading | Noise trading | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Schätzung | Estimation |
Extent: | 1 Online-Ressource (28 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Quantitative Finance (2015) Vol. 15, No. 8, 1347-1364 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 10, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2035395 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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