Efficient Multipowers.
Multipower estimators, widespread for their robustness to the presence of jumps, are also useful for reducing the estimation error of integrated volatility powers even in the absence of jumps. Optimizing linear combinations of multipowers can indeed drastically reduce the variance with respect to tr...
| Publicado en: | Journal of Financial Econometrics Vol. 16; no. 4; pp. 629 - 660 |
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| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Oxford University Press / USA
Fall2018
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |