The speed of convergence of the threshold estimator of integrated variance
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Publication:544491
DOI10.1016/j.spa.2010.12.001zbMath1216.62159OpenAlexW2027305388MaRDI QIDQ544491
Publication date: 15 June 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2010.12.001
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Generalizations of martingales (60G48)
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