Estimation of the instantaneous volatility (Q411549): Difference between revisions

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+Volatility estimators for discretely sampled Lévy processes
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+Testing for jumps in a discretely observed process
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Q5493536
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+Financial Modelling with Jump Processes
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+Martingale convergence to mixtures of infinitely divisible laws
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+A volatility-varying and jump-diffusion Merton type model of interest rate risk
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+Q4509488
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+Q3911791
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+Asymptotic properties of realized power variations and related functionals of semimartingales
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+Limit theorems for moving averages of discretized processes plus noise
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+La variation d'ordre p des semi-martingales
@@ Property / cites work: La variation d'ordre p des semi-martingales / rank @@
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+VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
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+Volatility Jumps
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+INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
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+Estimation of integrated volatility in stochastic volatility models
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+Q3511651
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