Cecilia Mancini

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Drift burst test statistic in the presence of infinite variation jumps Stochastic Processes and their Applications	2023-08-14	Paper
Optimum thresholding using mean and conditional mean squared error Journal of Econometrics	2019-04-26	Paper
Truncated realized covariance when prices have infinite variation jumps Stochastic Processes and their Applications	2017-06-22	Paper
Threshold estimation of Markov models with jumps and interest rate modeling Journal of Econometrics	2016-08-10	Paper
Spot volatility estimation using delta sequences Finance and Stochastics	2015-03-30	Paper
Measuring the relevance of the microstructure noise in financial data Stochastic Processes and their Applications	2014-04-28	Paper
Nonparametric tests for pathwise properties of semimartingales Bernoulli	2012-09-19	Paper
Nonparametric tests for pathwise properties of semimartingales Bernoulli	2012-09-19	Paper
IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS Econometric Theory	2012-04-24	Paper
The speed of convergence of the threshold estimator of integrated variance Stochastic Processes and their Applications	2011-06-15	Paper
Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps Scandinavian Journal of Statistics	2010-04-22	Paper
Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process Statistics & Probability Letters	2008-06-05	Paper
Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model Scandinavian Actuarial Journal	2007-05-29	Paper
Diffusion covariation and co-jumps in bidimensional asset price processes with stochastic volatility and infinite activity Levy jumps	2007-05-09	Paper
scientific article; zbMATH DE number 1846918 (Why is no real title available?)	2002-12-17	Paper

Research outcomes over time

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