{"id":"https://openalex.org/W2528789560","doi":"https://doi.org/10.1080/03610918.2015.1096382","title":"Nonparametric estimation of jump characteristics under market microstructure noise","display_name":"Nonparametric estimation of jump characteristics under market microstructure noise","publication_year":2015,"publication_date":"2015-10-15","ids":{"openalex":"https://openalex.org/W2528789560","doi":"https://doi.org/10.1080/03610918.2015.1096382","mag":"2528789560"},"language":"en","primary_location":{"id":"doi:10.1080/03610918.2015.1096382","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2015.1096382","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103284904","display_name":"Chao Yu","orcid":"https://orcid.org/0000-0003-0948-7081"},"institutions":[{"id":"https://openalex.org/I146563203","display_name":"University of International Business and Economics","ror":"https://ror.org/05khqpb71","country_code":"CN","type":"education","lineage":["https://openalex.org/I146563203"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Chao Yu","raw_affiliation_strings":["School of Statistics, University of International Business and Economics, Beijing, P.R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Statistics, University of International Business and Economics, Beijing, P.R. China","institution_ids":["https://openalex.org/I146563203"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5072872707","display_name":"Xujie Zhao","orcid":"https://orcid.org/0000-0002-4680-6099"},"institutions":[{"id":"https://openalex.org/I146563203","display_name":"University of International Business and Economics","ror":"https://ror.org/05khqpb71","country_code":"CN","type":"education","lineage":["https://openalex.org/I146563203"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xujie Zhao","raw_affiliation_strings":["School of International Trade and Economics, University of International Business and Economics, Beijing, P.R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of International Trade and Economics, University of International Business and Economics, Beijing, P.R. China","institution_ids":["https://openalex.org/I146563203"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100335353","display_name":"Bo Zhang","orcid":"https://orcid.org/0000-0003-0815-148X"},"institutions":[{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Bo Zhang","raw_affiliation_strings":["School of Statistics, Renmin University of China, Beijing, P.R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Statistics, Renmin University of China, Beijing, P.R. China","institution_ids":["https://openalex.org/I78988378"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5103284904"],"corresponding_institution_ids":["https://openalex.org/I146563203"],"apc_list":null,"apc_paid":null,"fwci":0.9752,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.82782446,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"1","last_page":"13"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9973999857902527,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9973999857902527,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9954000115394592,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9742000102996826,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.903823733329773},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.7874385118484497},{"id":"https://openalex.org/keywords/nonparametric-statistics","display_name":"Nonparametric statistics","score":0.7761713266372681},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.6271195411682129},{"id":"https://openalex.org/keywords/noise","display_name":"Noise (video)","score":0.5967340469360352},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5062429308891296},{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.42235690355300903},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4170660376548767},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.3808198869228363},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3603164553642273},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.36007317900657654},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.30887407064437866},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.16385385394096375},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.11255386471748352},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.07445165514945984}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.903823733329773},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.7874385118484497},{"id":"https://openalex.org/C102366305","wikidata":"https://www.wikidata.org/wiki/Q1097688","display_name":"Nonparametric statistics","level":2,"score":0.7761713266372681},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6271195411682129},{"id":"https://openalex.org/C99498987","wikidata":"https://www.wikidata.org/wiki/Q2210247","display_name":"Noise (video)","level":3,"score":0.5967340469360352},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5062429308891296},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.42235690355300903},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4170660376548767},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3808198869228363},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3603164553642273},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.36007317900657654},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.30887407064437866},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.16385385394096375},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.11255386471748352},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.07445165514945984},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C115961682","wikidata":"https://www.wikidata.org/wiki/Q860623","display_name":"Image (mathematics)","level":2,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/03610918.2015.1096382","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2015.1096382","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W1447268445","https://openalex.org/W1545370368","https://openalex.org/W1548335088","https://openalex.org/W1580561995","https://openalex.org/W1616886721","https://openalex.org/W1973340530","https://openalex.org/W2003413166","https://openalex.org/W2018240140","https://openalex.org/W2038421407","https://openalex.org/W2048515311","https://openalex.org/W2051235503","https://openalex.org/W2063887941","https://openalex.org/W2090788235","https://openalex.org/W2113883339","https://openalex.org/W2120702528","https://openalex.org/W2128569377","https://openalex.org/W2136215272","https://openalex.org/W2136536070","https://openalex.org/W2157296221","https://openalex.org/W2312297414","https://openalex.org/W2950144632","https://openalex.org/W3095114851","https://openalex.org/W3121180878","https://openalex.org/W3121487129","https://openalex.org/W3121718927","https://openalex.org/W3122025015","https://openalex.org/W3122654920","https://openalex.org/W3123757663","https://openalex.org/W3124264635","https://openalex.org/W3124585920","https://openalex.org/W4229765068"],"related_works":["https://openalex.org/W4243114048","https://openalex.org/W4237896776","https://openalex.org/W4231665652","https://openalex.org/W2000242494","https://openalex.org/W2335589441","https://openalex.org/W4296826658","https://openalex.org/W1837630526","https://openalex.org/W2111545434","https://openalex.org/W4381052368","https://openalex.org/W3033059452"],"abstract_inverted_index":{"This":[0],"article":[1],"proposes":[2],"a":[3],"simple":[4],"nonparametric":[5],"method":[6],"to":[7,28,67],"estimate":[8],"the":[9,21,25,30,35,40,50,54,63,76,87,90],"jump":[10],"characteristics":[11],"in":[12],"asset":[13],"price":[14],"with":[15],"noisy":[16],"high-frequency":[17],"data.":[18],"We":[19,47],"combine":[20],"pre-averaging":[22,36],"approach":[23],"and":[24,32,42,70],"threshold":[26,37],"technique":[27],"identify":[29],"jumps,":[31],"then":[33],"propose":[34],"estimators":[38,64],"for":[39],"number":[41],"sizes":[43],"of":[44,53,89],"jumps":[45],"occurred.":[46],"further":[48,85],"present":[49],"asymptotic":[51],"properties":[52],"proposed":[55,91],"estimators.":[56],"The":[57],"Monte":[58],"Carlo":[59],"simulation":[60],"shows":[61],"that":[62],"are":[65],"robust":[66],"microstructure":[68],"noise":[69],"work":[71],"very":[72],"well":[73],"especially":[74],"when":[75],"data":[77],"frequency":[78],"is":[79],"ultra-high.":[80],"Finally,":[81],"an":[82],"empirical":[83],"example":[84],"demonstrates":[86],"power":[88],"method.":[92]},"counts_by_year":[{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
