Parametric estimation for discretely observed stochastic processes with jumps
From MaRDI portal
Publication:1952110
DOI10.1214/10-EJS590zbMath1329.62367MaRDI QIDQ1952110
Publication date: 27 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1291903545
Blumenthal-Getoor index; jump process; parametric estimation; microstructure noise; discrete observation; non-ergodic process
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Estimation of the instantaneous volatility
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Estimation for the change point of volatility in a stochastic differential equation
- Bipower-type estimation in a noisy diffusion setting
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Parametric inference for discretely observed non-ergodic diffusions
- Interest rate models -- theory and practice. With smile, inflation and credit
- Real-time estimation scheme for the spot cross volatility of jump diffusion processes
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Moment estimates for Lévy processes
- A stochastic differential equation approach to soil moisture
- A review on stochastic differential equations for applications in hydrology
- Logistic growth with random density independent disasters
- Statistical inference for ergodic diffusion processes.
- Fourier series method for measurement of multivariate volatilities
- An approximation of American option prices in a jump-diffusion model
- Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
- Stochastic calculus of variations in mathematical finance.
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Limit theorems for multipower variation in the presence of jumps
- Analytical Valuation of American Options on Jump‐Diffusion Processes
- Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
- A central limit theorem for the functional estimation of the spot volatility
- Statistical inference for some volterra population processes in a random environment
- Financial Modelling with Jump Processes
- On a real-time scheme for the estimation of volatility
- Real-time scheme for the volatility estimation in the presence of microstructure noise
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
