The Double Gaussian Approximation for High Frequency Data
نویسندگان
چکیده
منابع مشابه
The Double Gaussian Approximation for High Frequency Data
High frequency data have become an important feature of many areas of research. They permit the creation of estimators in highly non-parametric classes of continuous-time models. In the context of continuous semi-martingale models, we here provide a locally parametric ‘double Gaussian’ approximation, to facilitate the analysis of estimators. As inMykland and Zhang (Econometrica, 77, 2009, p. 14...
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ژورنال
عنوان ژورنال: Scandinavian Journal of Statistics
سال: 2011
ISSN: 0303-6898
DOI: 10.1111/j.1467-9469.2011.00742.x