Data-driven fixed-point tuning for truncated realized variations

DOI10.3150/25-BEJ1867MaRDI QIDQ6860820zbMATH OpenFDO

Authors B. Cooper Boniece, José E. Figueroa-López, Yuchen Han

Publication date 10 February 2026

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/bernoulli/volume-32/issue-1/Data-driven-fixed-point-tuning-for-truncated-realized-variations/10.3150/25-BEJ1867.full

zbMATH Keywords

high-frequency datasemimartingalesintegrated volatility estimation

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

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