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Research Details

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

Type

Article

Author(s)

Jean Jacod, Viktor Todorov

Date Published

2018

Citations

Jacod, Jean, and 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.

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