Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
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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
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美国国家经济研究局创建时间：
2009-11-01
