Identifying the Brownian Covariation from the Co-Jumps Given Discrete Observations
Year of publication: |
2010-03
|
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Authors: | Mancini, Cecilia ; Gobbi, Fabio |
Institutions: | Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze |
Subject: | co-jumps | integrated covariation | integrated variance | finite activity jumps | infinite activity jumps | threshold estimator |
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