New tests for jumps in semimartingale models
From MaRDI portal
Publication:625314
DOI10.1007/s11203-009-9037-8zbMath1333.62127MaRDI QIDQ625314
Publication date: 15 February 2011
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-009-9037-8
central limit theorem; high-frequency data; microstructure noise; tests for jumps; semimartingale theory; truncated power variation
DB lookup for MSC labels failed