Cecilia Mancini

Available identifiers

Publication	Date of Publication	Type
Drift burst test statistic in the presence of infinite variation jumps	2023-08-14	Paper
Optimum thresholding using mean and conditional mean squared error	2019-04-26	Paper
Truncated realized covariance when prices have infinite variation jumps	2017-06-22	Paper
Threshold estimation of Markov models with jumps and interest rate modeling	2016-08-10	Paper
Spot volatility estimation using delta sequences	2015-03-30	Paper
Measuring the relevance of the microstructure noise in financial data	2014-04-28	Paper
Nonparametric tests for pathwise properties of semimartingales	2012-09-19	Paper
IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS	2012-04-24	Paper
The speed of convergence of the threshold estimator of integrated variance	2011-06-15	Paper
Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps	2010-04-22	Paper
Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process	2008-06-05	Paper
Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model	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
https://portal.mardi4nfdi.de/entity/Q4784921	2002-12-17	Paper

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