Pages that link to "Item:Q468730"
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The following pages link to Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730):
Displayed 11 items.
- Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
- Long versus short time scales: the rough dilemma and beyond (Q2145699) (← links)
- Estimation of the stochastic leverage effect using the Fourier transform method (Q2274297) (← links)
- Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods (Q2288759) (← links)
- Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
- Asymptotic results for the Fourier estimator of the integrated quarticity (Q2292050) (← links)
- Discrete Time Term Structure Theory and Consistent Recalibration Models (Q4607042) (← links)
- High-frequency volatility of volatility estimation free from spot volatility estimates (Q4619498) (← links)
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
- Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms (Q5146684) (← links)
- Signature-Based Models: Theory and Calibration (Q6048449) (← links)