Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730)
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scientific article; zbMATH DE number 6366971
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| English | Fourier transform methods for pathwise covariance estimation in the presence of jumps |
scientific article; zbMATH DE number 6366971 |
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Fourier transform methods for pathwise covariance estimation in the presence of jumps (English)
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7 November 2014
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non-parametric spot variance estimation
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central limit theorem
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consistency
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Fourier analysis
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jump-diffusion
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jump-robust estimation
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0.8153387308120728
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0.7642735838890076
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0.7617985606193542
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0.7527760863304138
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0.7511976361274719
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