Power Variations and Testing for Co‐Jumps: The Small Noise Approach

DOI10.1111/SJOS.12309zbMath1403.62191arXiv1605.02621OpenAlexW2964131978MaRDI QIDQ4685440

Daisuke Kurisu

Publication date: 8 October 2018

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

Full work available at URL: https://arxiv.org/abs/1605.02621

zbMATH Keywords

semimartingalemarket microstructure noiserealized volatilitybipower variationhigh-frequency financial datasmall noise asymptoticsco-jump test

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalizations of martingales (60G48) Non-Markovian processes: hypothesis testing (62M07)

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