How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940)
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scientific article; zbMATH DE number 5942418
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| English | How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? |
scientific article; zbMATH DE number 5942418 |
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How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (English)
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25 August 2011
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realised variance
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realised multipower variation
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truncated realised variance
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inference
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stochastic volatility
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jumps
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0.8366797
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0.82976097
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0.82574475
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0.8110691
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0.8065034
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0.80636406
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