Statistical inference of spot correlation and spot market beta under infinite variation jumps
Year of publication: |
2022
|
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Authors: | Liu, Qiang ; Liu, Zhi |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 4, p. 612-654
|
Subject: | semimartingale | high-frequency data | infinite variation jump | spot covariance | spot correlation | spot market beta | central limit theorem | Korrelation | Correlation | Volatilität | Volatility | Betafaktor | Beta risk | Spotmarkt | Spot market | Martingal | Martingale | ARCH-Modell | ARCH model | Börsenkurs | Share price | Induktive Statistik | Statistical inference | Schätztheorie | Estimation theory |
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