Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
Publication:744376
DOI10.1214/13-AAP965zbMath1429.62371arXiv1407.0518OpenAlexW3102930492MaRDI QIDQ744376
Viktor Todorov, George Tauchen
Publication date: 25 September 2014
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.0518
jumpsstochastic volatilityhigh-frequency datastable processKolmogorov-Smirnov testItô semimartingale
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items (11)
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