Pages that link to "Item:Q738115"

The following pages link to On the jump activity index for semimartingales (Q738115):

Displaying 25 items.

• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• A specification test of stochastic diffusion models (Q385188) (← links)
• Central limit theorems for power variation of Gaussian integral processes with jumps (Q477150) (← links)
• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
• Trading-flow assisted estimation of the jump activity index (Q829093) (← links)
• On the systematic and idiosyncratic volatility with large panel high-frequency data (Q1650070) (← links)
• Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
• Testing for self-excitation in jumps (Q1706487) (← links)
• Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale (Q1713462) (← links)
• Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
• Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation (Q1751974) (← links)
• A rank test for the number of factors with high-frequency data (Q2000871) (← links)
• Bandwidth selection of nonparametric threshold estimator in jump-diffusion models (Q2013803) (← links)
• Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467) (← links)
• Estimation of state-dependent jump activity and drift for Markovian semimartingales (Q2189127) (← links)
• Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process (Q2215954) (← links)
• A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation (Q2294509) (← links)
• Nonparametric Gaussian inference for stable processes (Q2330965) (← links)
• Testing for pure-jump processes for high-frequency data (Q2343966) (← links)
• Optimally thresholded realized power variations for Lévy jump diffusion models (Q2447648) (← links)
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics (Q2515498) (← links)
• Identifying latent factors based on high-frequency data (Q2688663) (← links)
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← links)
• Nonparametric estimation of volatility function in the jump-diffusion model with noisy data (Q4987543) (← links)
• Explicit and combined estimators for parameters of stable distributions (Q5023858) (← links)