Common price and volatility jumps in noisy high-frequency data
Author:
Publisher
Institute of Mathematical Statistics
Subject
Statistics and Probability,Statistics, Probability and Uncertainty
Link
https://projecteuclid.org/download/pdfview_1/euclid.ejs/1529308886
Cited by 17 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
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3. Tests for Jumps in Yield Spreads;Journal of Business & Economic Statistics;2023-11-27
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5. Volatility of Volatility Estimation: Central Limit Theorems for the Fourier Transform Estimator and Empirical Study of the Daily Time Series Stylized Facts;Journal of Financial Econometrics;2022-11-02
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