This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (prices sampled consecutively in calendar time with the same value) and no ...

Robust inference in time series analysis is concerned with developing statistical methods that remain valid under departures from standard model assumptions, such as the presence of heteroskedasticity ...

Under a linear regression model, the best linear unbiased estimator (BLUE) for a finite population total can be obtained. The problem studied here is that of estimating the variance for setting ...