Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
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Publication:5899409
DOI10.1080/034612303100170091zbMATH Open1114.62081OpenAlexW2090788235MaRDI QIDQ5899409FDOQ5899409
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Cited in
(44)- Parametric estimation for discretely observed stochastic processes with jumps
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
- Asymptotic lower bounds in estimating jumps
- Estimating functions for jump-diffusions
- Risk, jumps, and diversification
- Real-time estimation scheme for the spot cross volatility of jump diffusion processes
- Second-order properties of thresholded realized power variations of FJA additive processes
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Subsampling high frequency data
- Volatility analysis with realized GARCH-Itô models
- scientific article; zbMATH DE number 5846722 (Why is no real title available?)
- Optimum thresholding using mean and conditional mean squared error
- Estimation of the characteristics of a Lévy process
- Estimating fast mean-reverting jumps in electricity market models
- Functional estimation for Lévy measures of semimartingales with Poissonian jumps
- Statistical inference for the intensity in a partially observed jump diffusion
- Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations
- Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
- Statistical specification of jumps under semiparametric semimartingale models
- Testing and detecting jumps based on a discretely observed process
- Parameter estimates of a price series model as solution to linear SDE with a Poisson component
- Optimal iterative threshold-kernel estimation of jump diffusion processes
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Realised quantile-based estimation of the integrated variance
- Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps
- A new aspect of a risk process and its statistical inference
- scientific article; zbMATH DE number 7660132 (Why is no real title available?)
- Threshold selection in jump-discriminant filter for discretely observed jump processes
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Comparison of jump-diffusion parameters using passage times estimation
- Asymptotic normality of bias reduction estimation for jump intensity function in financial markets
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Estimating diffusion with compound Poisson jumps based on self-normalized residuals
- Nonparametric tests for pathwise properties of semimartingales
- Threshold estimation of Markov models with jumps and interest rate modeling
- scientific article; zbMATH DE number 7387192 (Why is no real title available?)
- Optimally thresholded realized power variations for Lévy jump diffusion models
- Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes
- High-frequency volatility estimation and forecasting with a novel Bayesian LGI model
- Bias reduction estimation for drift coefficient in diffusion models with jumps
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- G-M integrated type instantaneous volatility estimation
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
- Strong consistency of the kernel estimator of spot volatility for diffusion process
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