Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
DOI10.1186/S13662-020-02832-5zbMATH Open1485.62144OpenAlexW3044514690MaRDI QIDQ2114256FDOQ2114256
Authors: Jingwei Cai, Quanxin Zhu, Ping Chen 
Publication date: 15 March 2022
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-020-02832-5
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Cites Work
- Testing for jumps in a discretely observed process
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Realized range-based estimation of integrated variance
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- Inference for volatility-type objects and implications for hedging
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Spot volatility estimation for high-frequency data
- Threshold estimation of Markov models with jumps and interest rate modeling
- Estimating spot volatility with high-frequency financial data
- Central limit theorems of local polynomial threshold estimator for diffusion processes with jumps
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- Forecast the realized range-based volatility: the role of investor sentiment and regime switching
- Volatility asymmetry in functional threshold GARCH model
- Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market
- Title not available (Why is that?)
Cited In (11)
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models
- Estimating diffusion with compound Poisson jumps based on self-normalized residuals
- Nonparametric spot volatility from options
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Optimal iterative threshold-kernel estimation of jump diffusion processes
- Spot volatility estimation for high-frequency data
- Some remarks on the real-time scheme for the estimation of spot volatility
- Asymptotic properties for spot volatility estimation of diffusions with compound Poisson jumps
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
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