Truncated realized covariance when prices have infinite variation jumps (Q2359710)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Truncated realized covariance when prices have infinite variation jumps |
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Truncated realized covariance when prices have infinite variation jumps (English)
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22 June 2017
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semimartingales
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Brownian correlation coefficient
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co-jump
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integrated covariation
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Lévy copula
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threshold estimator
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