Second-order properties of thresholded realized power variations of FJA additive processes
DOI10.1007/s11203-019-09198-wzbMath1434.62038WikidataQ128094896 ScholiaQ128094896MaRDI QIDQ2330961
José E. Figueroa-López, Jeffrey A. Nisen
Publication date: 23 October 2019
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-019-09198-w
Lévy processes; additive processes; nonparametric estimation; integrated variance estimation; jump features estimation; multipower realized variations; truncated realized variations
62H12: Estimation in multivariate analysis
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
60J76: Jump processes on general state spaces
60G65: Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes)
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