On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps
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Publication:2864671
DOI10.1080/03610926.2011.639974zbMath1277.62254OpenAlexW2282154025MaRDI QIDQ2864671
Cui-Xia Li, Bing-Yi Jing, Zhi Liu
Publication date: 26 November 2013
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.639974
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
Related Items
Estimating integrated co-volatility with partially miss-ordered high frequency data ⋮ Econometrics of co-jumps in high-frequency data with noise
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