Author:
He Lidan,Liu Qiang,Liu Zhi,Bucci Andrea
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference23 articles.
1. Aït-Sahalia Y, Jacod J (2009) Testing for jumps in a discretely observed process. Ann Stat 37:184–222
2. Aït-Sahalia Y, Jacod J (2014) High-frequency financial econometrics, vol 37. Princeton University Press
3. Alvarez A, Panloup F, Pontier M, Savy N (2012) Estimation of the instantaneous volatility. Stat Infer Stoch Process 15:27–59
4. Andersen TG, Bollerslev T, Diebold F, Labys P (2003) Modeling and forecasting realized volatility. Econometrica 71:579–625
5. Barndorff-Nielsen OE, Hansen PR, Lunde A, Shephard N (2004) Regular and modified kernel-based estimators of integrated variance: the case with independent noise. Econ Pap 19(2)