Pages that link to "Item:Q5899409"
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The following pages link to Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model (Q5899409):
Displayed 36 items.
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- Threshold selection in jump-discriminant filter for discretely observed jump processes (Q257568) (← links)
- 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 (Q277161) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Risk, jumps, and diversification (Q292155) (← links)
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (Q367001) (← links)
- Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps (Q389251) (← links)
- Asymptotic lower bounds in estimating jumps (Q395992) (← links)
- Nonparametric tests for pathwise properties of semimartingales (Q453304) (← links)
- Subsampling high frequency data (Q530605) (← links)
- Statistical specification of jumps under semiparametric semimartingale models (Q734535) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Threshold estimation of Markov models with jumps and interest rate modeling (Q737264) (← links)
- Testing and detecting jumps based on a discretely observed process (Q738031) (← links)
- Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process (Q927361) (← links)
- Real-time estimation scheme for the spot cross volatility of jump diffusion processes (Q982924) (← links)
- A new aspect of a risk process and its statistical inference (Q1003819) (← links)
- Functional estimation for Lévy measures of semimartingales with Poissonian jumps (Q1012526) (← links)
- Optimum thresholding using mean and conditional mean squared error (Q1739640) (← links)
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps (Q1800948) (← links)
- Parametric estimation for discretely observed stochastic processes with jumps (Q1952110) (← links)
- Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467) (← links)
- Estimating diffusion with compound Poisson jumps based on self-normalized residuals (Q2242851) (← links)
- Estimation of the characteristics of a Lévy process (Q2270272) (← links)
- Estimating functions for jump-diffusions (Q2274300) (← links)
- Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
- Optimally thresholded realized power variations for Lévy jump diffusion models (Q2447648) (← links)
- Asymptotic Inference for Jump Diffusions with State-Dependent Intensity (Q2815596) (← links)
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (Q3552978) (← links)
- (Q5011285) (← links)
- Estimating fast mean-reverting jumps in electricity market models (Q5140350) (← links)
- (Q5237656) (← links)
- (Q5879927) (← links)
- Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
- (Q6141817) (← links)
- Bias reduction estimation for drift coefficient in diffusion models with jumps (Q6168291) (← links)