Nonparametric estimation of quadratic variation using high-frequency data
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Publication:6551463
DOI10.1002/mma.6863zbMath1543.62304MaRDI QIDQ6551463
Publication date: 7 June 2024
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
quadratic variationrealized volatilitybipower variationconvergence propertyquarticitygeneralized Itô isometry
Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Stochastic integrals (60H05)
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Cites Work
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