A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
Author:
Affiliation:
1. Department of Mathematics, University of Oslo
2. Department of Mathematics, Imperial College London
Publisher
Institute of Mathematical Statistics
Reference66 articles.
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3. Barndorff-Nielsen, O. E. and Shephard, N. (2004). Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics. Econometrica 72 885–925.
4. Jacod, J., Li, Y., Mykland, P. A., Podolskij, M. and Vetter, M. (2009). Microstructure noise in the continuous case: The pre-averaging approach. Stochastic Process. Appl. 119 2249–2276.
5. Jacod, J. and Protter, P. (2012). Discretization of Processes. Stochastic Modelling and Applied Probability 67. Springer, Heidelberg.
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