Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Year of publication: |
2013-05
|
---|---|
Authors: | Bibinger, Markus ; Vetter, Mathias |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | asynchronous observations | co-jumps | statistics of semimartingales | quadratic covariation |
-
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Bibinger, Markus, (2013)
-
Bibinger, Markus, (2013)
-
Bibinger, Markus, (2013)
- More ...
-
Nonparametric change-point analysis of volatility
Bibinger, Markus, (2015)
-
IMPROVED VOLATILITY ESTIMATION BASED ON LIMIT ORDER BOOKS
Bibinger, Markus, (2014)
-
Functional stable limit theorems for efficient spectral covolatility estimators
Altmeyer, Randolf, (2014)
- More ...