Journal Article

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
Author(s)

Jean Jacod

Viktor Todorov

Date Published: 2018
Citations: Jacod, Jean, 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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