P.O. Box 3001
University of Macau
Itˆo Variance hedging; Co-skewness; Stock return prediction; High frequency data; Market microstructure noise; Pre-averaging
Ito semi-martingale, High-frequency, Jump, Microstructure noise, Realized skewness, Stock return prediction
High frequency data; Itô semi-martingale; Jumps; Realized variations; Stable convergence.
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: ECTJ.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Local time, Ornstein–Uhlenbeck fractional Brownian motion, Unit root
Continuous time factor model, High dimensional Ito process, Driving process
Integrated volatility; High-frequency data; Multiple records; Range-based estimation
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.709 seconds