A Gaussian calculus for inference from high frequency data

Per Mykland ()

Annals of Finance, 2012, vol. 8, issue 2, 235-258

Keywords: Asynchronous observation; Consistency; Cumulants; Contiguity; Continuity; Discrete observation; Efficiency; High frequency data; Itô process; Likelihood inference; Realized volatility; Stable convergence; C02; C13; C14; C22; D52; D81 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (11)

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DOI: 10.1007/s10436-010-0152-8

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