Optimally thresholded realized power variations for Lévy jump diffusion models
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Publication:2447648
DOI10.1016/j.spa.2013.04.006zbMath1285.62099MaRDI QIDQ2447648
José E. Figueroa-López, Jeffrey A. Nisen
Publication date: 28 April 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2013.04.006
Lévy processes; additive processes; nonparametric estimation; jump detection; volatility estimation; power variations; thresholded estimators
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
62M05: Markov processes: estimation; hidden Markov models
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