Speed of convergence of the threshold estimator of integrated variance
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References listed on IDEAS
- Cecilia Mancini, 2009. "Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(2), pages 270-296, June.
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KeywordsIntegrated variance; threshold estimator; convergence speed; infinite activity stable Le'vy jumps.;
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