Truncated Realized Covariance when prices have infinite variation jumps
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DOI: 10.1016/j.spa.2016.09.008
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Cited by:
- Katerina Papagiannouli, 2022. "A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes," Statistical Inference for Stochastic Processes, Springer, vol. 25(3), pages 505-535, October.
- B. Cooper Boniece & Jos'e E. Figueroa-L'opez & Yuchen Han, 2023. "Data-driven fixed-point tuning for truncated realized variations," Papers 2311.00905, arXiv.org, revised Oct 2024.
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Keywords
Brownian correlation coefficient; Co-jump; Integrated covariation; Lévy copula; Threshold estimator;All these keywords.
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