On estimation of quadratic variation for multivariate pure jump semimartingales
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DOI: 10.1016/j.spa.2021.04.016
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References listed on IDEAS
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Cited by:
- Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
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Keywords
High frequency data; Lévy processes; Limit theorems; Quadratic variation; Semimartingales;All these keywords.
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