How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
| Year of publication: |
2011
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|---|---|
| Authors: | Veraart, Almut |
| Published in: |
AStA Advances in Statistical Analysis. - Springer. - Vol. 95.2011, 3, p. 253-291
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| Publisher: |
Springer |
| Subject: | Realised variance | Realised multipower variation | Truncated realised variance | Inference | Stochastic volatility | Jumps |
| Extent: | text/html |
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| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009324602