Pages that link to "Item:Q2510829"

The following pages link to A remark on the rates of convergence for integrated volatility estimation in the presence of jumps (Q2510829):

Displaying 26 items.

• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes (Q1621717) (← links)
• Wasserstein and total variation distance between marginals of Lévy processes (Q1657964) (← links)
• Recovering Brownian and jump parts from high-frequency observations of a Lévy process (Q1983615) (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
• Cointegration in high frequency data (Q2044337) (← links)
• Estimation of state-dependent jump activity and drift for Markovian semimartingales (Q2189127) (← links)
• Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes (Q2196535) (← links)
• Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data (Q2209820) (← links)
• Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process (Q2215954) (← links)
• Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
• Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations (Q2301475) (← links)
• A bootstrap test for jumps in financial economics (Q2343319) (← links)
• Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
• Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (Q2347453) (← links)
• Truncated realized covariance when prices have infinite variation jumps (Q2359710) (← links)
• Sparse covariance matrix estimation in high-dimensional deconvolution (Q2419664) (← links)
• An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility (Q2447642) (← links)
• Testing the characteristics of a Lévy process (Q2447654) (← links)
• Efficient estimation of integrated volatility in presence of infinite variation jumps (Q2510826) (← links)
• High-frequency Donsker theorems for Lévy measures (Q2634896) (← links)
• A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes (Q2676877) (← links)
• Estimation and Calibration of Lévy Models via Fourier Methods (Q2786961) (← links)
• Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices (Q2956058) (← links)
• ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION (Q2976209) (← links)
• ETF basket-adjusted covariance estimation (Q6108294) (← links)