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2024 [1]
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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Journal article
Liu, Qiang, Liu, Zhi. Estimating spot volatility under infinite variation jumps with dependent market microstructure noise[J]. Econometrics Journal, 2024, 27(2), 278-298.
Authors:
Liu, Qiang
;
Liu, Zhi
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Submit date：2024/07/04
Dependent Market Microstructure Noise
Empirical Characteristic Function
High-frequency Data
Jump Activity
Jumps
Kernel Smoothing
Pre-averaging
Spot Volatility
