ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Asymptotics for recurrent diffusions with application to high frequency regression
Quarticity and other functionals of volatility: efficient estimation
On the approximate maximum likelihood estimation for diffusion processes
Jump-robust volatility estimation using nearest neighbor truncation
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
Testing for jumps in a discretely observed process
Nonparametric statistics for stochastic processes. Estimation and prediction.
Realized power variation and stochastic volatility models
On the functional estimation of jump-diffusion models.
Estimators of diffusions with randomly spaced discrete observations: a general theory
Nonparametric estimation of stochastic volatility models
On non-parametric estimation of the Lévy kernel of Markov processes
Asymptotic properties of realized power variations and related functionals of semimartingales
A test for model specification of diffusion processes
Limit theorems for multipower variation in the presence of jumps
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING
Estimation of Jump Tails
Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
NONPARAMETRIC STOCHASTIC VOLATILITY
Limit theorems for null recurrent Markov processes
Estimating functions for diffusion-type processes
NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
Fully Nonparametric Estimation of Scalar Diffusion Models
The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models

This page was built for publication: ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS