We derive limit theorems for the empirical distribution function of "devolatilized" increments of an Ito semimartingale observed at high frequencies. These "devolatilized" increments are formed by ...
This is a preview. Log in through your library . Abstract We study limit distributions for the tuning-free max–min block estimator originally proposed in (Fokianos, Leucht and Neumann (2017)) in the ...
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