Multi-scale jump and volatility analysis for high-frequency financial data

Journal of the American Statistical Association

Volumn 102, Issue 480, 2007, Pages 1349-1362

  Fan, Jianqing ^a,b   Wang, Yazhen ^b,c  

^a Princeton University   (United States)

^b SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^c UNIVERSITY OF CONNECTICUT   (United States)

Author keywords

Diffusion; Integrated volatility; Jump variation; Market microstructure noise; Wavelets

Indexed keywords

EID: 38349068617     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214507000001067     Document Type: Article

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