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20162021
most citedBootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations

7 citations · 7 across the 2 of their papers we have counts for

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math.ST2016

Power variations and testing for co-jumps: the small noise approach

Daisuke Kurisu

In this paper we study the effects of noise on the bipower variation (BPV), realized volatility (RV) and testing for co-jumps in high-frequency data under the small noise framework…