How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
Almut E. D. Veraart ()
AStA Advances in Statistical Analysis, 2011, vol. 95, issue 3, pages 253-291
Keywords: Realised variance; Realised multipower variation; Truncated realised variance; Inference; Stochastic volatility; Jumps (search for similar items in EconPapers)
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Working Paper: How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (2010)
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Persistent link: http://EconPapers.repec.org/RePEc:spr:alstar:v:95:y:2011:i:3:p:253-291
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