IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
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Publication:5389952
DOI10.1017/S0266466611000326zbMath1298.91167arXivmath/0610621MaRDI QIDQ5389952
Publication date: 24 April 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0610621
integrated variance; threshold estimator; finite activity jumps; co-jumps; integrated covariation; infinite activity jumps
91G70: Statistical methods; risk measures
62M05: Markov processes: estimation; hidden Markov models
60J65: Brownian motion
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
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