Nonparametric tests for pathwise properties of semimartingales
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- Cecilia Mancini, 2010. "Speed of convergence of the threshold estimator of integrated variance," Working Papers - Mathematical Economics 2010-03, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
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More about this item
Keywords
Threshold estimator; central limit theorem; test for finite variation jumps; test for Brownian component.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-05-22 (Econometrics)
- NEP-ETS-2010-05-22 (Econometric Time Series)
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