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Estimation of volatility functionals: the case of a √n window

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https://hal.archives-ouvertes.fr/hal-01261418
Contributor : Serena Benassù <>
Submitted on : Monday, January 25, 2016 - 11:59:14 AM
Last modification on : Friday, March 27, 2020 - 4:01:01 AM

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  • HAL Id : hal-01261418, version 1

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J. Jacod, M. Rosenbaum. Estimation of volatility functionals: the case of a √n window. P.K. Friz, J. Gatheral, A. Jacquier, J. Teichmann. Large deviations and asymptotic methods in finance, 110, Springer, pp.559-590, 2015, Springer Proceedings in Mathematics & Statistics. ⟨hal-01261418⟩

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