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probability measure from "medium" size jumps in high-frequency intraday prices and an extreme value theory approximation for the …
Persistent link: https://www.econbiz.de/10013158966
We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...
Persistent link: https://www.econbiz.de/10013144212