Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions (Q4916500): Difference between revisions

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scientific article; zbMATH DE number 6156549

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English	Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions	scientific article; zbMATH DE number 6156549

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instance of

scholarly article

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title

Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions (English)

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zbMATH Open document ID

1261.62032

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DOI

10.1080/01621459.2012.682854

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Journal of the American Statistical Association

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publication date

22 April 2013

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Mathematics Subject Classification ID

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high-frequency data

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ill-posed problems

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nonparametric density estimation

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regularization

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stochastic volatility

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/01621459.2012.682854

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OpenAlex ID

W2144436120

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cites work

Testing for jumps in a discretely observed process

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The Distribution of Realized Exchange Rate Volatility

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Estimation of Jump Tails

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Penalized Projection Estimator for Volatility Density

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On the optimal rates of convergence for nonparametric deconvolution problems

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Q5624436

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Asymptotic properties of realized power variations and related functionals of semimartingales

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Q4778955

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A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour

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Quasi-concave density estimation

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Direct regularization of the inversion of real-valued Laplace transforms

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Regularized inversion of integral transformations of Mellin convolution type

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Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

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Inference for Continuous Semimartingales Observed at High Frequency

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Q4937701

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Q4125663

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The Realized Laplace Transform of Volatility

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Realized Laplace transforms for estimation of jump diffusive volatility models

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Nonparametric volatility density estimation

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Sitelinks

Mathematics(1 entry)

mardi Publication:4916500

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+The Distribution of Realized Exchange Rate Volatility
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Estimation of Jump Tails
@@ Property / cites work: Estimation of Jump Tails / rank @@
+Normal rank
@@ Property / cites work @@
+Penalized Projection Estimator for Volatility Density
+Normal rank
@@ Property / cites work @@
+On the optimal rates of convergence for nonparametric deconvolution problems
+Normal rank
@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
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@@ Property / cites work @@
+Asymptotic properties of realized power variations and related functionals of semimartingales
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
+Normal rank
@@ Property / cites work @@
+Quasi-concave density estimation
@@ Property / cites work: Quasi-concave density estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Direct regularization of the inversion of real-valued Laplace transforms
+Normal rank
@@ Property / cites work @@
+Regularized inversion of integral transformations of Mellin convolution type
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+Inference for Continuous Semimartingales Observed at High Frequency
+Normal rank
@@ Property / cites work @@
+Q4937701
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+Normal rank
@@ Property / cites work @@
+Q4125663
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+The Realized Laplace Transform of Volatility
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+Realized Laplace transforms for estimation of jump diffusive volatility models
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@@ Property / cites work @@
+Nonparametric volatility density estimation
@@ Property / cites work: Nonparametric volatility density estimation / rank @@
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