Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
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Publication:1713462
DOI10.1016/j.spa.2018.03.006zbMath1409.62164MaRDI QIDQ1713462
Publication date: 25 January 2019
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2018.03.006
Fourier transform; deconvolution; spectral density; high-frequency data; nonparametric inference; Itô semimartingale
62G07: Density estimation
62G20: Asymptotic properties of nonparametric inference
62M05: Markov processes: estimation; hidden Markov models
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On estimation of quadratic variation for multivariate pure jump semimartingales, Identifying latent factors based on high-frequency data
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