The speed of convergence of the threshold estimator of integrated variance
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Publication:544491
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Cites work
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Estimating the degree of activity of jumps in high frequency data
- Financial Modelling with Jump Processes
- Fisher's Information for Discretely Sampled Lvy Processes
- scientific article; zbMATH DE number 1639846 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Nonparametric tests for pathwise properties of semimartingales
Cited in
(24)- Optimum thresholding using mean and conditional mean squared error
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
- Estimation for high-frequency data under parametric market microstructure noise
- Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
- Estimation of volatility in a high-frequency setting: a short review
- Second-order properties of thresholded realized power variations of FJA additive processes
- Truncated realized covariance when prices have infinite variation jumps
- Jump filtering and efficient drift estimation for Lévy-driven SDEs
- Measuring the relevance of the microstructure noise in financial data
- Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
- On the speed of almost sure convergence of the mode estimators of Chernoff and Venter
- Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Quarticity and other functionals of volatility: efficient estimation
- Fourier transform methods for pathwise covariance estimation in the presence of jumps
- Volatility estimation and jump testing via realized information variation
- Uniform predictive inference for factor models with instrumental and idiosyncratic betas
- Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation
- Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations
- Data-driven fixed-point tuning for truncated realized variations
- Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
- Drift estimation for a class of generalized Ornstein-Uhlenbeck process with fluctuating exponential trend
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