Bipower-type estimation in a noisy diffusion setting
From MaRDI portal
Publication:841480
DOI10.1016/j.spa.2009.02.006zbMath1172.62039MaRDI 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
central limit theorem; high-frequency data; quadratic variation; microstructure noise; bipower variation; semimartingale theory; test for jumps
62P05: Applications of statistics to actuarial sciences and financial mathematics
60F05: Central limit and other weak theorems
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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