Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467): Difference between revisions

@@ Property / author @@
-Jeffrey A. Nisen
@@ Property / author: Jeffrey A. Nisen / rank @@
-Normal rank
@@ Property / author @@
+Jeffrey A. Nisen
@@ Property / author: Jeffrey A. Nisen / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2783905818
@@ Property / OpenAlex ID: W2783905818 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.07499
@@ Property / arXiv ID: 1811.07499 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating the degree of activity of jumps in high frequency data
+Normal rank
@@ Property / cites work @@
+Testing for jumps in a discretely observed process
+Normal rank
@@ Property / cites work @@
+Is Brownian motion necessary to model high-frequency data?
+Normal rank
@@ Property / cites work @@
+Q5495335
@@ Property / cites work: Q5495335 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4821526
@@ Property / cites work: Q4821526 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric tests for pathwise properties of semimartingales
+Normal rank
@@ Property / cites work @@
+Threshold bipower variation and the impact of jumps on volatility forecasting
+Normal rank
@@ Property / cites work @@
+Spot volatility estimation for high-frequency data
+Normal rank
@@ Property / cites work @@
+Statistical estimation of Lévy-type stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Optimal kernel estimation of spot volatility of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Optimum thresholding using mean and conditional mean squared error
+Normal rank
@@ Property / cites work @@
+Optimally thresholded realized power variations for Lévy jump diffusion models
+Normal rank
@@ Property / cites work @@
+Second-order properties of thresholded realized power variations of FJA additive processes
+Normal rank
@@ Property / cites work @@
+Continuous Record Asymptotics for Rolling Sample Variance Estimators
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of power variations of Lévy processes
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of realized power variations and related functionals of semimartingales
+Normal rank
@@ Property / cites work @@
+Discretization of processes.
@@ Property / cites work: Discretization of processes. / rank @@
+Normal rank
@@ Property / cites work @@
+On the jump activity index for semimartingales
@@ Property / cites work: On the jump activity index for semimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
+Normal rank
@@ Property / cites work @@
+Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+Spot volatility estimation using delta sequences
@@ Property / cites work: Spot volatility estimation using delta sequences / rank @@
+Normal rank
@@ Property / cites work @@
+On non-parametric estimation of the Lévy kernel of Markov processes
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank