Identifying the Brownian Covariation from the Co-Jumps Given Discrete Observations
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References listed on IDEAS
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More about this item
Keywordsco-jumps; integrated covariation; integrated variance; finite activity jumps; infinite activity jumps; threshold estimator;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-22 (All new papers)
- NEP-ECM-2010-05-22 (Econometrics)
- NEP-ETS-2010-05-22 (Econometric Time Series)
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