Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
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Publication:2355172
DOI10.1007/s10463-014-0473-xzbMath1440.62364arXiv1305.3068OpenAlexW2165854033MaRDI QIDQ2355172
Markus Bibinger, Mathias Vetter
Publication date: 21 July 2015
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1305.3068
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Martingales with continuous parameter (60G44)
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