310 citations · 565 across the 13 of their papers we have counts for
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math.ST2016
Testing for simultaneous jumps in case of asynchronous observations
Ole Martin, Mathias Vetter
This paper proposes a novel test for simultaneous jumps in a bivariate Itô semimartingale when observation times are asynchronous and irregular. Inference is built on a realized co…
math.ST2016
A note on central limit theorems for quadratic variation in case of endogenous observation times
Mathias Vetter, Tobias Zwingmann
This paper is concerned with a central limit theorem for quadratic variation when observations come as exit times from a regular grid. We discuss the special case of a semimartinga…