Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes (Q2196535)
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scientific article; zbMATH DE number 7243109
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| default for all languages | No label defined |
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| English | Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes |
scientific article; zbMATH DE number 7243109 |
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Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes (English)
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3 September 2020
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Lévy-driven SDE
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integrated variance
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threshold estimator
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convergence speed
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high frequency data
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0.8013635277748108
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0.7688111066818237
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0.7685767412185669
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0.7653873562812805
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0.7639332413673401
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