Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
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More about this item
Keywordsasynchronous observations; co-jumps; statistics of semimartingales; quadratic covariation;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-09 (All new papers)
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