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Quantitative Finance Volume 15, 2015 - Issue 8: Special Issue on High Frequency Data Modeling in Finance

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Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Jozef BarunikInstitute of Economic Studies, Charles University, Opletalova 21, 110 00Prague, Czech Republic.;Institute of Information Theory and Automation, The Czech Academy of Sciences, Pod Vodarenskou Vezi 4, 182 00Prague, Czech Republic.Correspondence[email protected]
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Lukas VachaInstitute of Economic Studies, Charles University, Opletalova 21, 110 00Prague, Czech Republic.;Institute of Information Theory and Automation, The Czech Academy of Sciences, Pod Vodarenskou Vezi 4, 182 00Prague, Czech Republic.View further author information

Pages 1347-1364 | Received 07 Feb 2013, Accepted 16 Oct 2014, Published online: 11 May 2015

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https://doi.org/10.1080/14697688.2015.1032550
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