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Persistent link: https://www.econbiz.de/10012587109
This paper considers the problem of estimating spot volatility in the simultaneous presence of Lévy jumps and market microstructure noise. We propose to use the pre-averaging approach and the threshold kernel-based method to construct a spot volatility estimator, which is robust to both...
Persistent link: https://www.econbiz.de/10011234839