Statistical inference of spot correlation and spot market beta under infinite variation jumps

Qiang Liu and Zhi Liu

Year of publication:	2022
Authors:	Liu, Qiang ; Liu, Zhi
Subject:	semimartingale \| high-frequency data \| infinite variation jump \| spot covariance \| spot correlation \| spot market beta \| central limit theorem \| Korrelation \| Correlation \| Spotmarkt \| Spot market \| Betafaktor \| Beta risk \| Volatilität \| Volatility \| ARCH-Modell \| ARCH model \| Induktive Statistik \| Statistical inference \| Martingal \| Martingale \| CAPM \| Stochastischer Prozess \| Stochastic process \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory

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