Efficient sampling for realized variance estimation in time-changed diffusion models

DOI10.1016/J.JECONOM.2025.106150MaRDI QIDQ6854604zbMATH OpenFDO

Authors Timo Dimitriadis, Roxana Halbleib, Jeannine Polivka, Jasper Rennspies, Sina Streicher, Axel Friedrich Wolter

Publication date 24 February 2026

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

efficient estimationhitting timehigh-frequency datarealized variancepure jump processbusiness timetime-changed diffusion model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

This page was built for publication: Efficient sampling for realized variance estimation in time-changed diffusion models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6854604)