How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W3122250454 / rank | |||
Normal rank |
Revision as of 18:57, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? |
scientific article |
Statements
How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (English)
0 references
25 August 2011
0 references
realised variance
0 references
realised multipower variation
0 references
truncated realised variance
0 references
inference
0 references
stochastic volatility
0 references
jumps
0 references