Nonparametric estimation of the volatility under microstructure noise: wavelet adaptation
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References listed on IDEAS
- Lars Eric Kroll & Thomas Lampert, 2008. "Soziale Unterschiede in der Lebenserwartung: Möglichkeiten auf Basis des Sozio-oekonomischen Panels," SOEPpapers on Multidisciplinary Panel Data Research 112, DIW Berlin, The German Socio-Economic Panel (SOEP).
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- 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.
- Zu, Yang & Peter Boswijk, H., 2014. "Estimating spot volatility with high-frequency financial data," Journal of Econometrics, Elsevier, vol. 181(2), pages 117-135.
More about this item
KeywordsAdaptive estimation; diffusion processes; high-frequency data; microstructure noise; minimax estimation; semimartingales; wavelets.;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C0 - Mathematical and Quantitative Methods - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-08-28 (All new papers)
- NEP-ECM-2010-08-28 (Econometrics)
- NEP-ETS-2010-08-28 (Econometric Time Series)
- NEP-MST-2010-08-28 (Market Microstructure)
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