On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps

ISSN： 0361-0926

Source： Communications in Statistics: Theory and Methods, Vol.42, Iss.21, 2013-11, pp. : 3889-3901

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data

By Jing Bing-Yi Kong Xin-Bing Liu Zhi

Journal of the American Statistical Association, Vol. 106, Iss. 494, 2011-06 ,pp. : 558-568

Taylor & Francis Ltd

Access to resources Recommend Favorite

On the Estimation of Integrated Volatility With Jumps and Microstructure Noise

By Jing Bing-Yi Liu Zhi Kong Xin-Bing

Journal of Business & Economic Statistics, Vol. 32, Iss. 3, 2014-07 ,pp. : 457-467

Taylor & Francis Ltd

Access to resources Recommend Favorite

Volatility Jumps

By Todorov Viktor

Journal of Business & Economic Statistics, Vol. 29, Iss. 3, 2011-07 ,pp. : 356-371

Taylor & Francis Ltd

Access to resources Recommend Favorite

The Estimation of Leverage Effect With High-Frequency Data

By Wang Christina D. Mykland Per A.

Journal of the American Statistical Association, Vol. 109, Iss. 505, 2014-01 ,pp. : 197-215

Taylor & Francis Ltd

Access to resources Recommend Favorite

Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measure

By Bi Tao

Communications in Statistics: Simulation and Computation, Vol. 42, Iss. 4, 2013-04 ,pp. : 741-754

Taylor & Francis Ltd

Access to resources Recommend Favorite