Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
From MaRDI portal
Recommendations
- Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy high-frequency data
- Estimation of volatility functions in jump diffusions using truncated bipower increments
- Nonparametric estimation of jump characteristics under market microstructure noise
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Cites work
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A Tale of Two Time Scales
- A theory of the term structure of interest rates
- A two-step estimation of diffusion processes using noisy observations
- An application of nonparametric volatility estimators to option pricing
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Central limit theorems of local polynomial threshold estimator for diffusion processes with jumps
- Diffusions with measurement errors. II. Optimal estimators
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Empirical likelihood inference for diffusion processes with jumps
- Estimating functions for noisy observations of ergodic diffusions
- Estimating the degree of activity of jumps in high frequency data
- Estimating the diffusion coefficient function for a diversified world stock index
- Estimating the jump activity index under noisy observations using high-frequency data
- Estimation and test of jump discontinuities in varying coefficient models with empirical applications
- Fully Nonparametric Estimation of Scalar Diffusion Models
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 7696484 (Why is no real title available?)
- Jump-detection-based estimation in time-varying coefficient models and empirical applications
- Local linear estimation of jump-diffusion models by using asymmetric kernels
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- Microstructure noise in the continuous case: the pre-averaging approach
- Non parametric estimation of the diffusion coefficients of a diffusion with jumps
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Nonparametric estimation of diffusions: a differential equations approach
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- Nonparametric Pricing of Interest Rate Derivative Securities
- On estimating the diffusion coefficient from discrete observations
- On the functional estimation of jump-diffusion models.
- On the jump activity index for semimartingales
- Parameter estimation by contrast minimization for noisy observations of a diffusion process
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
- Statistics and high-frequency data
- Testing for pure-jump processes for high-frequency data
- Threshold estimation of Markov models with jumps and interest rate modeling
- Volatility estimation from short time series of stock prices
Cited in
(11)- Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
- A two-step estimation of diffusion processes using noisy observations
- Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
- Nonparametric estimation of jump characteristics under market microstructure noise
- Estimation of volatility functions in jump diffusions using truncated bipower increments
- Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy 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?)
- Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
This page was built for publication: Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4987543)
