The speed of convergence of the threshold estimator of integrated variance
DOI10.1016/J.SPA.2010.12.001zbMATH Open1216.62159OpenAlexW2027305388MaRDI QIDQ544491FDOQ544491
Authors: Cecilia Mancini 
Publication date: 15 June 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2010.12.001
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- scientific article; zbMATH DE number 6611139
Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Generalizations of martingales (60G48)
Cites Work
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- Financial Modelling with Jump Processes
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
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- Estimating the degree of activity of jumps in high frequency data
- Fisher's Information for Discretely Sampled Lvy Processes
- Nonparametric tests for pathwise properties of semimartingales
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Title not available (Why is that?)
Cited In (21)
- Truncated realized covariance when prices have infinite variation jumps
- Jump filtering and efficient drift estimation for Lévy-driven SDEs
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Quarticity and other functionals of volatility: efficient estimation
- 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
- Volatility estimation and jump testing via realized information variation
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Measuring the relevance of the microstructure noise in financial data
- Second-order properties of thresholded realized power variations of FJA additive processes
- Optimum thresholding using mean and conditional mean squared error
- Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations
- Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation
- Fourier transform methods for pathwise covariance estimation in the presence of jumps
- Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
- Estimation for high-frequency data under parametric market microstructure noise
- Estimation of volatility in a high-frequency setting: a short review
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
- Uniform predictive inference for factor models with instrumental and idiosyncratic betas
- A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
- Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
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