IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (Q5389952): Difference between revisions

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+Asymptotic properties of realized power variations and related functionals of semimartingales
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+Jumps and betas: a new framework for disentangling and estimating systematic risks
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+On covariance estimation of non-synchronously observed diffusion processes
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+Consistent estimation of covariation under nonsynchronicity
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+Threshold bipower variation and the impact of jumps on volatility forecasting
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+Risk, jumps, and diversification
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+Bond Market Structure in the Presence of Marked Point Processes
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+Nonparametric tests for pathwise properties of semimartingales
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+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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+Testing for jumps in a discretely observed process
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+Estimating the degree of activity of jumps in high frequency data
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+A CLOSER LOOK AT THE EPPS EFFECT
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+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
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+Testing for common arrivals of jumps for discretely observed multidimensional processes
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+Asymptotic error distributions for the Euler method for stochastic differential equations
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+Limit theorems for bipower variation of semimartingales
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