Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730): Difference between revisions

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Latest revision as of 06:07, 9 July 2024

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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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