Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730): Difference between revisions
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| Property / DOI: 10.1016/J.SPA.2014.07.023 / rank | |||
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Latest revision as of 18:27, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fourier transform methods for pathwise covariance estimation in the presence of jumps |
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Fourier transform methods for pathwise covariance estimation in the presence of jumps (English)
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7 November 2014
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non-parametric spot variance estimation
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central limit theorem
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consistency
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Fourier analysis
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jump-diffusion
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jump-robust estimation
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