Large Deviations Of The Threshold Estimator Of Integrated (Co-)Volatility Vector In The Presence Of Jumps
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More about this item
Keywords
Quadratic variation; Large deviation principle; Threshold estimator; Jump Poisson;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-04-02 (Econometrics)
- NEP-ETS-2017-04-02 (Econometric Time Series)
- NEP-MST-2017-04-02 (Market Microstructure)
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