High-frequency estimation of the Lévy-driven Graph Ornstein-Uhlenbeck process
Author:
Affiliation:
1. Department of Mathematics, Imperial College London London, United Kingdom
Publisher
Institute of Mathematical Statistics
Subject
Statistics and Probability,Statistics, Probability and Uncertainty
Reference53 articles.
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3. AÏT-SAHALIA, Y., FAN, J. and XIU, D. (2010). High-frequency covariance estimates with noisy and asynchronous financial data. Journal of the American Statistical Association 105 1504–1517.
4. AÏT-SAHALIA, Y. and JACOD, J. (2011). Testing whether jumps have finite or infinite activity. Ann. Statist. 39 1689–1719.
5. AÏT-SAHALIA, Y. and MANCINI, L. (2008). Out of sample forecasts of quadratic variation. Journal of Econometrics 147 17–33. Econometric modelling in finance and risk management: An overview.
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