On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps
type: Item
instance of: scholarly article
title: On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps
zbMATH Open document ID: 1277.62254
DOI: 10.1080/03610926.2011.639974
author: Bing-Yi Jing
author: Cuixia Li
author: Zhi Liu
publication date: 2013-11-26T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 6232649
zbMATH Keywords: central limit theorem
zbMATH Keywords: co-volatility
zbMATH Keywords: high-frequency data
zbMATH Keywords: Ito semi-martingales
zbMATH Keywords: microstructure noise
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/03610926.2011.639974
OpenAlex ID: W2282154025
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published in: Communications in Statistics. Theory and Methods
description: scientific article; zbMATH DE number 6232649