Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
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Publication:282571
DOI10.3150/15-BEJ714zbMath1342.60033arXiv1408.0938OpenAlexW2224121206MaRDI QIDQ282571
Publication date: 12 May 2016
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1408.0938
jumpscovariance estimatorcentral limit theoremsemimartingalequadratic covariationmicrostructure noisenon-synchronous observationsstable limit theoremtime endogeneity
Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Generalizations of martingales (60G48)
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