Jump-robust volatility estimation using nearest neighbor truncation

Journal of Econometrics

Volumn 169, Issue 1, 2012, Pages 75-93

  Andersen, Torben G ^a   Dobrev, Dobrislav ^b   Schaumburg, Ernst ^c  

^a NORTHWESTERN UNIVERSITY   (United States)

^b FEDERAL RESERVE BOARD   (United States)

^c FEDERAL RESERVE BANK OF NEW YORK   (United States)

Author keywords

Finite activity jumps; High frequency data; Integrated variance; Intraday U shape patterns; Jump robustness; Nearest neighbor truncation; Realized volatility

Indexed keywords

FINITE ACTIVITY JUMPS; HIGH FREQUENCY DATA; INTEGRATED VARIANCE; INTRADAY U-SHAPE PATTERNS; NEAREST NEIGHBORS; REALIZED VOLATILITY;

IMAGE RECORDING;

ESTIMATION;

EID: 84861876025     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.01.011     Document Type: Conference Paper

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