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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.: 511-576.
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