IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS

DOI10.1017/S0266466611000326zbMath1298.91167arXivmath/0610621MaRDI QIDQ5389952

Cecilia Mancini, Fabio Gobbi

Publication date: 24 April 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0610621

zbMATH Keywords

integrated variancethreshold estimatorfinite activity jumpsco-jumpsintegrated covariationinfinite activity jumps

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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