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06/23/2022
On the estimation of the jump activity index in the case of random observation times
We propose a nonparametric estimator of the jump activity index β of a p...
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03/24/2020
A universal approach to estimate the conditional variance in semimartingale limit theorems
The typical central limit theorems in high-frequency asymptotics for sem...
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11/14/2018
Multiscale change point detection for dependent data
In this paper we study the theoretical properties of the simultaneous mu...
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12/19/2017