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Andersen et al., 2014 - Google Patents

A robust neighborhood truncation approach to estimation of integrated quarticity

Andersen et al., 2014

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Document ID
6879184038958313841
Author
Andersen T
Dobrev D
Schaumburg E
Publication year
Publication venue
Econometric Theory

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Snippet

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 …
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    • G06Q10/00—Administration; Management
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