Nonparametric tests for pathwise properties of semimartingales

DOI10.3150/10-BEJ293zbMath1345.62074arXiv1104.4429OpenAlexW2078077640MaRDI QIDQ453304

Rama Cont, Cecilia Mancini

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.4429

zbMATH Keywords

jump processesquadratic variationsemimartingalehigh frequency datarealized volatilitynonparametric tests

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric hypothesis testing (62G10) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Sample path properties (60G17)

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