Nonsynchronous covariation process and limit theorems
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Publication:719383
DOI10.1016/j.spa.2010.12.005zbMath1233.60014OpenAlexW2018657189MaRDI QIDQ719383
Nakahiro Yoshida, Takaki Hayashi
Publication date: 10 October 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2010.12.005
high-frequency dataquadratic variationsemimartingalestable convergencerealized volatilitydiscrete samplingmartingale central limit theoremnonsynchronicity
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