Showing 1 - 1 of 1
For a semi-martingale Xt, which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation hX;Xit is con- structed based on observations in the vicinity of Xt. The problem is embedded in a Poisson point process framework, which reveals an interesting connection to the...
Persistent link: https://www.econbiz.de/10010929780