Jump-robust volatility estimation using dynamic dual-domain integration method
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Cites work
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A selective overview of nonparametric methods in financial econometrics
- A theory of the term structure of interest rates
- An application of nonparametric volatility estimators to option pricing
- Bias reduction in nonparametric diffusion coefficient estimation
- Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation
- Estimating the diffusion coefficient function for a diversified world stock index
- Fully Nonparametric Estimation of Scalar Diffusion Models
- scientific article; zbMATH DE number 2042814 (Why is no real title available?)
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Non-parametric estimation of the diffusion coefficient from noisy data
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric estimation of diffusions: a differential equations approach
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Nonparametric Pricing of Interest Rate Derivative Securities
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
- On estimating the diffusion coefficient from discrete observations
- On the functional estimation of jump-diffusion models.
- Optimum thresholding using mean and conditional mean squared error
- Parameter estimation by contrast minimization for noisy observations of a diffusion process
- Parameter estimation in stochastic differential equations.
- Spot volatility estimation using delta sequences
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Threshold estimation of Markov models with jumps and interest rate modeling
- Volatility estimation from short time series of stock prices
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