A new estimation for integrated volatility based on threshold pre-averaging modulated multi-power variation and its application

ZHANG Chuanhai

Systems Engineering - Theory & Practice ›› 2019, Vol. 39 ›› Issue (4) : 946-969.

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Systems Engineering - Theory & Practice ›› 2019, Vol. 39 ›› Issue (4) : 946-969. DOI: 10.12011/1000-6788-2018-2059-24

A new estimation for integrated volatility based on threshold pre-averaging modulated multi-power variation and its application

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2019, 39(4): 946-969 https://doi.org/10.12011/1000-6788-2018-2059-24

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