An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps
Author:
Affiliation:
1. Graduate School of Mathematical Sciences; University of Tokyo
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/sjos.12043/fullpdf
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4. Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility;Andersen;The Rev. Econ. Stat.,2007
5. Modeling and forecasting realized volatility;Andersen;Econometrica,2003
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