Optimally thresholded realized power variations for Lévy jump diffusion models

DOI10.1016/j.spa.2013.04.006zbMath1285.62099OpenAlexW1970808305MaRDI QIDQ2447648

José E. Figueroa-López, Jeffrey A. Nisen

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.04.006

zbMATH Keywords

Lévy processesadditive processesnonparametric estimationjump detectionvolatility estimationpower variationsthresholded estimators

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Data-driven inference for stationary jump-diffusion processes with application to membrane voltage fluctuations in pyramidal neurons, Jump filtering and efficient drift estimation for Lévy-driven SDEs, Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process, Optimum thresholding using mean and conditional mean squared error, Optimal iterative threshold-kernel estimation of jump diffusion processes, Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps, Volatility Estimation and Jump Testing via Realized Information Variation, Second-order properties of thresholded realized power variations of FJA additive processes

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