Functional stable limit theorems for efficient spectral covolatility estimators
Year of publication: |
2014-01
|
---|---|
Authors: | Altmeyer, Randolf ; Bibinger, Markus |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | adaptive estimation | asymptotic efficiency | local parametric estimation | microstructure noise | integrated volatility | non-synchronous observations | spectral estimation | stable limit theorem |
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