Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Year of publication: |
2019
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Authors: | Song, Yuping ; Hou, Weijie ; Zhou, Shengyi |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 23.2019, 5, p. 1-38
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Subject: | continuous-time return model | high frequency financial data | Nadaraya-Watson estimator | resistance to sparse design | variance and bias reduction | Kapitaleinkommen | Capital income | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation | Börsenkurs | Share price | Systematischer Fehler | Bias | Monte-Carlo-Simulation | Monte Carlo simulation | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis |
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