Common price and volatility jumps in noisy high-frequency data
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Keywords
high-frequency data; microstructure noise; nonparametric volatility estimation; volatility jumps;All these keywords.
JEL classification:
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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