Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

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Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (2009)

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by Mark Podolskij , Mathias Vetter

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66 - 11 self

BibTeX

@MISC{Podolskij09estimationof,
    author = {Mark Podolskij and Mathias Vetter},
    title = {Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps},
    year = {2009}
}

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Abstract

Keyphrases

volatility functionals simultaneous presence microstructure noise