On estimation of quadratic variation for multivariate pure jump semimartingales

Author:

Heiny JohannesORCID,Podolskij Mark

Funder

Deutsche Forschungsgemeinschaft

European Research Council

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference13 articles.

1. On mixing and stability of limit theorems;Aldous;Ann. Probab.,1978

2. Asymptotic theory for principal component analysis;Anderson;Ann. Math. Stat.,1963

3. A central limit theorem for realised power and bipower variations of continuous semimartingales;Barndorff-Nielsen,2006

4. Power and bipower variation with stochastic volatility and jumps (with discussion);Barndorff-Nielsen;J. Financ. Econ.,2004

5. Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales;Diop;Stochastic Process. Appl.,2013

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