Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
收藏NBER2009-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15533
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资源简介：
We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical
提供机构：
美国国家经济研究局
创建时间：
2009-11-01
