On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps

DOI10.1080/03610926.2011.639974zbMath1277.62254OpenAlexW2282154025MaRDI QIDQ2864671

Cui-Xia Li, Bing-Yi Jing, Zhi Liu

Publication date: 26 November 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.639974

zbMATH Keywords

central limit theoremhigh-frequency datamicrostructure noiseIto semi-martingalesco-volatility

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Related Items

Estimating integrated co-volatility with partially miss-ordered high frequency data ⋮ Econometrics of co-jumps in high-frequency data with noise

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