Central Limit Theorems for approximate quadratic variations of pure jump Itô semimartingales
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DOI: 10.1016/j.spa.2012.11.003
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- Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
- Heiny, Johannes & Podolskij, Mark, 2021. "On estimation of quadratic variation for multivariate pure jump semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 138(C), pages 234-254.
- Bibinger, Markus & Winkelmann, Lars, 2015. "Econometrics of co-jumps in high-frequency data with noise," Journal of Econometrics, Elsevier, vol. 184(2), pages 361-378.
- Kim Christensen & Mikkel Slot Nielsen & Mark Podolskij, 2023. "High-dimensional estimation of quadratic variation based on penalized realized variance," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 331-359, July.
- Todorov, Viktor, 2013. "Power variation from second order differences for pure jump semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2829-2850.
- Kim Christensen & Mikkel Slot Nielsen & Mark Podolskij, 2021. "High-dimensional estimation of quadratic variation based on penalized realized variance," Papers 2103.03237, arXiv.org.
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Keywords
Quadratic variation; Itô semimartingale; Pure jump processes; Approximate quadratic variation; Central Limit Theorem; Stable convergence in law;All these keywords.
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