Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale
Year of publication: |
2005
|
---|---|
Authors: | Christensen, Kim ; Podolski, Mark |
Institutions: | Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund |
Subject: | Central Limit Theorem | Continuous Semi-Martingale | High-Frequency Data | Integrated Variance | Market Microstructure Noise | Quadratic Variation |
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