Spot variance path estimation and its application to high frequency jump testing

Research output: Working paper / PreprintWorking paperProfessional

102 Downloads (Pure)
Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Number of pages35
Publication statusPublished - 2009

Publication series

NameTI Discussion Papers Series
No.09-110/4

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