Do price and volatility jump together?
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Publication:990387
DOI10.1214/09-AAP654zbMath1203.62139arXiv1010.4990OpenAlexW2082398388MaRDI QIDQ990387
Publication date: 1 September 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.4990
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Generalizations of martingales (60G48)
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