Central limit theorem for the realized volatility based on tick time sampling
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Publication:2430257
DOI10.1007/s00780-008-0087-3zbMath1224.62040MaRDI QIDQ2430257
Publication date: 6 April 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-008-0087-3
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
60F05: Central limit and other weak theorems
62M09: Non-Markovian processes: estimation
60F17: Functional limit theorems; invariance principles
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