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model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …
Persistent link: https://www.econbiz.de/10011350381
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
We consider the problem of smoothing data on two-dimensional grids with holes or gaps. Such grids are often referred to as difficult regions. Since the data is not observed on these locations, the gap is not part of the domain. We cannot apply standard smoothing methods since they smooth over...
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model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …
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the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and …
Persistent link: https://www.econbiz.de/10012924242