Bipower-type estimation in a noisy diffusion setting

DOI10.1016/j.spa.2009.02.006zbMath1172.62039OpenAlexW3023292412MaRDI QIDQ841480

Mark Podolskij, Mathias Vetter

Publication date: 17 September 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.02.006

zbMATH Keywords

central limit theoremhigh-frequency dataquadratic variationmicrostructure noisebipower variationsemimartingale theorytest for jumps

Mathematics Subject Classification ID

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