How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
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- A Tale of Two Time Scales
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- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
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- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
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