An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
DOI10.1111/sjos.12043zbMath1416.62460OpenAlexW2125518785MaRDI QIDQ5418636
Publication date: 26 May 2014
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/sjos.12043
semimartingaleasynchronous observationsHayashi-Yoshida estimatorthreshold estimatorinfinite activity jumps
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Martingales with continuous parameter (60G44)
Related Items (4)
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