Bipower-type estimation in a noisy diffusion setting

DOI10.1016/j.spa.2009.02.006zbMath1172.62039MaRDI QIDQ841480

Publication date: 17 September 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.02.006

zbMATH Keywords

central limit theorem; high-frequency data; quadratic variation; microstructure noise; bipower variation; semimartingale theory; test for jumps

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60F05: Central limit and other weak theorems

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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