Truncated realized covariance when prices have infinite variation jumps (Q2359710)
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scientific article; zbMATH DE number 6734601
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| English | Truncated realized covariance when prices have infinite variation jumps |
scientific article; zbMATH DE number 6734601 |
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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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0.8154594898223877
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0.8024994134902954
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0.7884141206741333
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0.7577239871025085
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