Journal Article
Limit Theorems for Integrated Local Empirical Characteristic Exponents from Noisy High-Frequency Data with Application to Volatility and Jump Activity Estimation
Annals of Applied Probability
Author(s)
Date Published:
2018
Citations:
Jacod, Jean, Viktor Todorov. 2018. Limit Theorems for Integrated Local Empirical Characteristic Exponents from Noisy High-Frequency Data with Application to Volatility and Jump Activity Estimation. Annals of Applied Probability. 511-576.