Effects of jumps and small noise in high-frequency financial econometrics

DOI10.1007/S10690-017-9223-4zbMath1418.91610OpenAlexW2594742153MaRDI QIDQ1627808

Naoto Kunitomo, Daisuke Kurisu

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-017-9223-4

zbMATH Keywords

jumpshigh-frequency financial datamicro-market noisecontinuous-time processessmall-noise asymptoticsasymptotic robustness of jump-test

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

Local SIML estimation of some Brownian and jump functionals under market micro-structure noise

Cites Work

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• Stochastic differential equations. An introduction with applications.

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