Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data
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- Hounyo, Ulrich & Varneskov, Rasmus T., 2017. "A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation," Journal of Econometrics, Elsevier, vol. 198(1), pages 10-28.
- Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
- Julien Chevallier & Benoît Sévi, 2014.
"On the Stochastic Properties of Carbon Futures Prices,"
Environmental & Resource Economics,
Springer;European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
- Julien Chevallier & Benoît Sévi, 2012. "On the Stochastic Properties of Carbon Futures Prices," Working Papers halshs-00720166, HAL.
- Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Post-Print hal-01474249, HAL.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 1001. "Option Panels in Pure-Jump Settings," CREATES Research Papers 2018-04, Department of Economics and Business Economics, Aarhus University.
- Adam D. Bull, 2014. "Near-optimal estimation of jump activity in semimartingales," Papers 1409.8150, arXiv.org, revised Jan 2016.
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