Blar i Handelshøyskolen BI på forfatter "Zhang, Lan"
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A CLT FOR SECOND DIFFERENCE ESTIMATORS WITH AN APPLICATION TO VOLATILITY AND INTENSITY
Stoltenberg, Emil Aas; Mykland, Per A.; Zhang, Lan (Peer reviewed; Journal article, 2022)In this paper, we introduce a general method for estimating the quadratic covariation of one or more spot parameter processes associated with continuous time semimartingales, and present a central limit theorem that has ...