Limit theorems in the Fourier transform method for the estimation of multivariate volatility
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Publication:544506
DOI10.1016/j.spa.2010.11.016zbMath1220.62052OpenAlexW2100678058MaRDI QIDQ544506
Emmanuelle Clément, Arnaud Gloter
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.2010.11.016
Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Stochastic integrals (60H05)
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