A universal approach to estimate the conditional variance in semimartingale limit theorems
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Cites work
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- Assessment of uncertainty in high frequency data: the observed asymptotic variance
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Discretization of processes.
- scientific article; zbMATH DE number 4005331 (Why is no real title available?)
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- Inference for the jump part of quadratic variation of Itô semimartingales
- Inference from high-frequency data: a subsampling approach
- Limit theorems for moving averages of discretized processes plus noise
- Realized power variation and stochastic volatility model
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