The Double Gaussian Approximation for High Frequency Data

DOI10.1111/j.1467-9469.2011.00742.xzbMath1246.62088OpenAlexW2155727846MaRDI QIDQ2911663

Lan Zhang, Per Aslak Mykland

Publication date: 1 September 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2011.00742.x

zbMATH Keywords

continuityconsistencycumulantspartial likelihoodefficiencydiscrete observationscontiguityleverage effectlikelihood inferencestable convergencerealized volatilityItô processvolatility of volatilityequivalent martingale measuresrealized betaquarticity

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

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