scientific article

zbMath1142.62095MaRDI QIDQ3511651

Jeannette H. C. Woerner

Publication date: 11 July 2008

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

Related Items (29)

Testing for common arrivals of jumps for discretely observed multidimensional processes ⋮ Jump-detection and curve estimation methods for discontinuous regression functions based on the piecewise B-spline function ⋮ Limit theorems for bipower variation of semimartingales ⋮ Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps ⋮ Estimation of the Hurst parameter in the simultaneous presence of jumps and noise ⋮ Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps ⋮ Asymptotic lower bounds in estimating jumps ⋮ Statistical inferences for price staleness ⋮ Estimation of the instantaneous volatility ⋮ How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? ⋮ Optimally thresholded realized power variations for Lévy jump diffusion models ⋮ Multipower variation for Brownian semistationary processes ⋮ Fourier transform methods for pathwise covariance estimation in the presence of jumps ⋮ Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process ⋮ Central limit theorems for power variation of Gaussian integral processes with jumps ⋮ Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations ⋮ Asymptotic properties of realized power variations and related functionals of semimartingales ⋮ Estimation for Lévy processes from high frequency data within a long time interval ⋮ Asymptotic properties of power variations of Lévy processes ⋮ Inference in Lévy-type stochastic volatility models ⋮ Limit theorems for multipower variation in the presence of jumps ⋮ Estimation of the characteristics of a Lévy process ⋮ Volatility estimators for discretely sampled Lévy processes ⋮ Testing for jumps in a discretely observed process ⋮ Realised quantile-based estimation of the integrated variance ⋮ Threshold bipower variation and the impact of jumps on volatility forecasting ⋮ Threshold estimation of Markov models with jumps and interest rate modeling ⋮ Bipower Variation for Gaussian Processes with Stationary Increments ⋮ Second-order properties of thresholded realized power variations of FJA additive processes

This page was built for publication: