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Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian–fractional Brownian model
(VTeX, 2015-05-11)
- article
We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian–fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter H of the fractional ...