Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation

• Autores: Jean Jacob, Viktor Todorov
• Localización: Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 28, Nº. 1, 2018, págs. 511-576
• Idioma: inglés
• DOI: 10.1214/17-aap1311
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