Inference for Continuous Semimartingales Observed at High Frequency
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Publication:3653230
DOI10.3982/ECTA7417zbMath1182.62216OpenAlexW2171501853MaRDI QIDQ3653230
Publication date: 21 December 2009
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta7417
continuityconsistencycumulantsequivalent martingale measureefficiencycontiguityleverage effectlikelihood inferencestable convergencerealized volatilityItô processdiscrete observationrealized beta
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Generalizations of martingales (60G48)
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