Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation (Q1751974)
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| Language | Label | Description | Also known as |
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| English | Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation |
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Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation (English)
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25 May 2018
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Blumenthal-Getoor index
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central limit theorem
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empirical characteristic function
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integrated volatility
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irregular sampling
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Itô semimartingale
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jumps
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jump activity
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microstructure noise
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quadratic variation
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stable process
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