Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
نویسندگان
چکیده
منابع مشابه
Multi-scale Jump and Volatility Analysis for High-Frequency Financial Data
The wide availability of high-frequency data for many financial instruments stimulates an upsurge interest in statistical research on the estimation of volatility. Jump-diffusion processes observed with market microstructure noise are frequently used to model high-frequency financial data. Yet, existing methods are developed for either noisy data from a continuous diffusion price model or data ...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2007
ISSN: 0162-1459,1537-274X
DOI: 10.1198/016214507000001067