Browsing by Author "Vetter, Mathias"

Now showing items 1-2 of 2

2013-05-28Buch

Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps

Bibinger, Markus; Vetter, Mathias

We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results from Jacod (2008) are ...
2015-01-12Buch

Nonparametric change-pointanalysis of volatility

Bibinger, Markus; Jirak, Moritz; Vetter, Mathias

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itˆo semi-martingale, which is discretely observed over a fixed time horizon. We construct a ...