Data-driven fixed-point tuning for truncated realized variations
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Cites work
- A mathematical analysis of the Gumbel test for jumps in stochastic volatility models
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Data-driven fixed-point tuning for truncated realized variations
- Discretization of processes.
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations
- Estimation of tempered stable Lévy models of infinite variation
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Jump Regressions
- Jump-robust volatility estimation using nearest neighbor truncation
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- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Nonparametric tests for pathwise properties of semimartingales
- On sequential calibration for an asset price model with piecewise Lévy processes
- Optimal kernel estimation of spot volatility of stochastic differential equations
- Optimally thresholded realized power variations for Lévy jump diffusion models
- Optimum thresholding using mean and conditional mean squared error
- Spot volatility estimation for high-frequency data
- Stock co-jump networks
- The realized Laplace transform of volatility
- The speed of convergence of the threshold estimator of integrated variance
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Threshold estimation of Markov models with jumps and interest rate modeling
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