Estimation of volatility functions in jump diffusions using truncated bipower increments
From MaRDI portal
Recommendations
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy high-frequency data
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
Cites work
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A test for model specification of diffusion processes
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Asymptotics for recurrent diffusions with application to high frequency regression
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- Estimation of jump tails
- Estimation of stochastic volatility models by nonparametric filtering
- Estimators of diffusions with randomly spaced discrete observations: a general theory
- Fully Nonparametric Estimation of Scalar Diffusion Models
- scientific article; zbMATH DE number 4020137 (Why is no real title available?)
- scientific article; zbMATH DE number 2150787 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- Jump-robust volatility estimation using nearest neighbor truncation
- Limit theorems for multipower variation in the presence of jumps
- Limit theorems for null recurrent Markov processes
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Nonparametric estimation of stochastic volatility models
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Nonparametric statistics for stochastic processes. Estimation and prediction.
- NONPARAMETRIC STOCHASTIC VOLATILITY
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- On non-parametric estimation of the Lévy kernel of Markov processes
- On the approximate maximum likelihood estimation for diffusion processes
- On the functional estimation of jump-diffusion models.
- Quarticity and other functionals of volatility: efficient estimation
- Realised quantile-based estimation of the integrated variance
- Realized power variation and stochastic volatility models
- Statistics and high-frequency data
- Testing for jumps in a discretely observed process
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Threshold estimation of Markov models with jumps and interest rate modeling
Cited in
(2)
This page was built for publication: Estimation of volatility functions in jump diffusions using truncated bipower increments
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5012629)
