IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (Q5389952)
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scientific article; zbMATH DE number 6027192
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS |
scientific article; zbMATH DE number 6027192 |
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IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (English)
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24 April 2012
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co-jumps
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integrated covariation
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integrated variance
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finite activity jumps
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infinite activity jumps
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threshold estimator
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