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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Bibliographische Detailangaben
Veröffentlicht in:	Econometrica
1. Verfasser:	Li, Jia (VerfasserIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	2013
Schlagworte:	Confidence set > high frequency data > jump power variation > market microstructure noise > pre-averaging > semimartingale > uniformity > Aufsatz in Zeitschrift
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An issue in honor of Ragnar Frisch in the year of his sixty-fifth birthday	1960	28,2
Bibliographical directory of members	1957	Vol. 25, No. 5
Guide to econometrica : an author index and analytical subject guide covering articles, book reviews, abstracts, and notes appearing in econometrica, 1932-1952	1952	20.1952, Suppl.
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The probability approach in econometrics	1944	12.1944, Suppl.