Nonparametric tests for pathwise properties of semimartingales
From MaRDI portal
Publication:453304
DOI10.3150/10-BEJ293zbMath1345.62074arXiv1104.4429MaRDI QIDQ453304
Publication date: 19 September 2012
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.4429
jump processes; quadratic variation; semimartingale; high frequency data; realized volatility; nonparametric tests
60G51: Processes with independent increments; Lévy processes
62G10: Nonparametric hypothesis testing
60F05: Central limit and other weak theorems
60G44: Martingales with continuous parameter
60G17: Sample path properties
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