Efficient estimation of integrated volatility in presence of infinite variation jumps
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Year
: 2014DOI: 10.1214/14-AOS1213
Keyword(s): Quadratic variation,Ito semimartingale,integrated volatility,central limit theorem
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:
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Efficient estimation of integrated volatility in presence of infinite variation jumps
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| contributor author | Jacod, Jean - Todorov, Viktor | |
| date accessioned | 2020-03-12T16:47:07Z | |
| date available | 2020-03-12T16:47:07Z | |
| date issued | 2014 | |
| identifier issn | 0090-5364 | |
| identifier other | 10.1214-14-AOS1213.pdf | |
| identifier uri | http://libsearch.um.ac.ir:80/fum/handle/fum/933125?locale-attribute=en | |
| format | general | |
| language | English | |
| publisher | The Institute of Mathematical Statistics | |
| title | Efficient estimation of integrated volatility in presence of infinite variation jumps | |
| type | Journal Paper | |
| contenttype | Metadata Only | |
| identifier padid | 7680621 | |
| subject keywords | Quadratic variation | |
| subject keywords | Ito semimartingale | |
| subject keywords | integrated volatility | |
| subject keywords | central limit theorem | |
| identifier doi | 10.1214/14-AOS1213 | |
| journal title | The Annals of Statistics | |
| journal volume | 42 | |
| journal issue | 3 | |
| filesize | 501687 | |
| citations | 0 |