Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571)
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scientific article
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| English | Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise |
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Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (English)
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12 May 2016
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central limit theorem
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covariance estimator
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quadratic covariation
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semimartingale
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jumps
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microstructure noise
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non-synchronous observations
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stable limit theorem
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time endogeneity
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0.8886821269989014
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0.8194194436073303
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0.8185316920280457
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0.8163817524909973
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0.8100449442863464
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