Threshold selection in jump-discriminant filter for discretely observed jump processes
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Publication:257568
DOI10.1007/s10260-010-0134-zzbMath1332.62305OpenAlexW2032465166MaRDI QIDQ257568
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
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Related Items (5)
Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes ⋮ Threshold estimation for jump-diffusions under small noise asymptotics ⋮ Unnamed Item ⋮ An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps ⋮ ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
Cites Work
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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
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
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