Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (Q4580032)
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scientific article; zbMATH DE number 6916678
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| English | Estimation of the Hurst parameter in the simultaneous presence of jumps and noise |
scientific article; zbMATH DE number 6916678 |
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Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (English)
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13 August 2018
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realized threshold multipower variation
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microstructure noise
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Hurst parameter
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high frequency data
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central limit theorem
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0.9278846
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0.91754794
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0.8914549
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0.88628066
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0.8843348
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0.8817808
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