Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fourier transform methods for pathwise covariance estimation in the presence of jumps |
scientific article |
Statements
Fourier transform methods for pathwise covariance estimation in the presence of jumps (English)
0 references
7 November 2014
0 references
non-parametric spot variance estimation
0 references
central limit theorem
0 references
consistency
0 references
Fourier analysis
0 references
jump-diffusion
0 references
jump-robust estimation
0 references
0 references
0 references
0 references
0 references
