Nonparametric tests for pathwise properties of semimartingales

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

zbMATH Keywords

jump processes; quadratic variation; semimartingale; high frequency data; realized volatility; nonparametric tests

Mathematics Subject Classification ID

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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