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Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local‐to‐Continuity Theory for the Pre‐Averaging Method

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  • Jia Li

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  • Jia Li, 2013. "Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local‐to‐Continuity Theory for the Pre‐Averaging Method," Econometrica, Econometric Society, vol. 81(4), pages 1673-1693, July.
  • Handle: RePEc:ecm:emetrp:v:81:y:2013:i:4:p:1673-1693
    DOI: ECTA10534
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    File URL: http://hdl.handle.net/10.3982/ECTA10534
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    Cited by:

    1. Hansen, Peter Reinhard, 2015. "A martingale decomposition of discrete Markov chains," Economics Letters, Elsevier, vol. 133(C), pages 14-18.
    2. Markus Bibinger & Lars Winkelmann, 2014. "Common price and volatility jumps in noisy high-frequency data," SFB 649 Discussion Papers SFB649DP2014-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae, 2015. "Option valuation with observable volatility and jump dynamics," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 101-120.
    4. Harin, Alexander, 2014. "Problems of utility and prospect theories. A discontinuity of Prelec’s function," MPRA Paper 61027, University Library of Munich, Germany.
    5. Duong, Diep & Swanson, Norman R., 2015. "Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction," Journal of Econometrics, Elsevier, vol. 187(2), pages 606-621.
    6. Jui-Chung Yang & Ke-Li Xu, 2013. "Estimation and Inference under Weak Identi cation and Persistence: An Application on Forecast-Based Monetary Policy Reaction Function," 2013 Papers pya307, Job Market Papers.
    7. repec:eee:econom:v:204:y:2018:i:1:p:18-32 is not listed on IDEAS
    8. Bibinger, Markus & Winkelmann, Lars, 2015. "Econometrics of co-jumps in high-frequency data with noise," Journal of Econometrics, Elsevier, vol. 184(2), pages 361-378.

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