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Bipower-type estimation in a noisy diffusion setting

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Original languageEnglish
JournalStochastic Processes and Their Applications
Volume119
Issue9
Pages (from-to)2803-2831
Number of pages29
ISSN0304-4149
DOIs
Publication statusPublished - 1 Sep 2009
Externally publishedYes

    Research areas

  • Bipower variation, Central limit theorem, High-frequency data, Microstructure noise, Quadratic variation, Semimartingale theory, Test for jumps

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