A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
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https://www.nber.org/papers/w17152
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资源简介：
We provide a first in-depth look at robust estimation of integrated quarticity (IQ) based on high frequency data. IQ is the key ingredient enabling inference about volatility and the presence of jumps in financial time series and is thus of considerable interest in applications. We document the
提供机构：
美国国家经济研究局
创建时间：
2011-06-01
