no code implementations • 21 Sep 2022 • B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Several rate- and variance-efficient estimators have been proposed in the literature when the jump component is of bounded variation.
no code implementations • 2 Feb 2022 • B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
The proposed method is based on a two-step debiasing procedure for the truncated realized quadratic variation of the process.