Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy high-frequency data

DOI10.3969/J.ISSN.1001-4268.2016.06.002MaRDI QIDQ5276455zbMATH OpenFDO

Authors Xu-Guo Ye, Jinguan Lin

Publication date 14 July 2017

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2016.06.002

zbMATH Keywords

integrated volatilityjump-diffusion processesmarket microstructure noisenonparametric estimationthreshold technique

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

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Cited in

(23)

• On the nonparametric inference of coefficients of self-exciting jump-diffusion
• Estimation of volatility in a high-frequency setting: a short review
• Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
• Estimation of a noisy subordinated Brownian motion via two-scales power variations
• One approach to the problem of nonparametric estimation in statistics of random processes based on the method of ill-posed problem
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
• Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
• Research on market microstructure model with nonhomogeneous Poisson jump based on UKF
• Nonparametric estimation of jump characteristics under market microstructure noise
• Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
• Estimation of volatility functions in jump diffusions using truncated bipower increments
• Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
• NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
• A Tale of Two Time Scales
• On the estimation of integrated volatility in the presence of jumps and microstructure noise
• On measuring volatility of diffusion processes with high frequency data
• Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
• scientific article; zbMATH DE number 7710538 (Why is no real title available?)
• Asymptotic normality of kernel density estimation for mixing high-frequency data

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