Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Publication:605016
DOI10.3150/08-BEJ167zbMath1200.62131arXiv0909.0827MaRDI QIDQ605016
Mathias Vetter, Mark Podolskij
Publication date: 12 November 2010
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0909.0827
central limit theoremhigh-frequency datasubsamplingmicrostructure noiseintegrated volatilitybipower variationfinite activity jumpssemimartingale theory
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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