How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940): Difference between revisions
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Revision as of 05:46, 9 December 2024
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| English | How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? |
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How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (English)
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25 August 2011
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realised variance
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realised multipower variation
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truncated realised variance
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inference
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stochastic volatility
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jumps
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