Threshold selection in jump-discriminant filter for discretely observed jump processes
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Cites work
- scientific article; zbMATH DE number 3833030 (Why is no real title available?)
- A practical inference for discretely observed jump-diffusions from finite samples
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps
- Estimating the degree of activity of jumps in high frequency data
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
- Functional estimation for Lévy measures of semimartingales with Poissonian jumps
- Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
- Model selection for Lévy measures in diffusion processes with jumps from discrete observations
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Testing for jumps in a discretely observed process
- \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
Cited in
(6)- Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
- Threshold estimation for jump-diffusions under small noise asymptotics
- A practical inference for discretely observed jump-diffusions from finite samples
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- scientific article; zbMATH DE number 7660132 (Why is no real title available?)
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
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