Threshold selection in jump-discriminant filter for discretely observed jump processes
DOI10.1007/S10260-010-0134-ZzbMATH Open1332.62305OpenAlexW2032465166MaRDI QIDQ257568FDOQ257568
Publication date: 17 March 2016
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-010-0134-z
asymptotic unbiasednessintegrated-volatilityjump-discriminant filterplug-in methodthreshold estimation
Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Asymptotic properties of realized power variations and related functionals of semimartingales
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
- Testing for jumps in a discretely observed process
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- A practical inference for discretely observed jump-diffusions from finite samples
- Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Estimating the degree of activity of jumps in high frequency data
- \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
- Estimation of parameters for diffusion processes with jumps from discrete observations
- 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
Cited In (5)
- Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- Title not available (Why is that?)
- Threshold estimation for jump-diffusions under small noise asymptotics
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
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