摘要 : In this paper, we are interested in testing whether the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and market microstructure noise. Based on estimators of... 展开
作者 | Liu~ Qiang Liu~ Zhi Zhang~ Chuanhai |
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作者单位 | |
期刊名称 | 《Applied stochastic models in business and industry》 |
总页数 | 17 |
语种/中图分类号 | 英语 / O213 |
关键词 | heteroscedasticity high-frequency data jumps market microstructure noise nonparametric test INTEGRATED VOLATILITY THRESHOLD ESTIMATION REALIZED KERNELS SPOT VOLATILITY PARAMETRIC FORM MODELS FUNCTIONALS |
馆藏号 | N2008EPST0004166 |