Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data
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Publication:3095175
DOI10.1198/jasa.2011.tm10021zbMath1232.62114MaRDI QIDQ3095175
Zhi Liu, Bing-Yi Jing, Xin-Bing Kong
Publication date: 28 October 2011
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2011.tm10021
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M09: Non-Markovian processes: estimation
60G48: Generalizations of martingales
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