Pages that link to "Item:Q1002155"

The following pages link to Testing for jumps in a discretely observed process (Q1002155):

Displaying 50 items.

• Testing for diffusion in a discretely observed semimartingale (Q2511575) (← links)
• Activity signature functions for high-frequency data analysis (Q2630154) (← links)
• On the estimation of regime-switching Lévy models (Q2691688) (← links)
• Testing for continuous local martingales using the crossing tree (Q2802751) (← links)
• A mathematical analysis of the Gumbel test for jumps in stochastic volatility models (Q2821907) (← links)
• The identification of price jumps (Q2882552) (← links)
• Goodness-of-fit based on downsampling with applications to linear drift diffusions (Q2911667) (← links)
• Central limit theorems for the non-parametric estimation of time-changed Lévy models (Q2911696) (← links)
• A new microstructure noise index (Q3019507) (← links)
• Bayesian Approach to Markov Switching Stochastic Volatility Model with Jumps (Q3102909) (← links)
• Dynamics of Intraday Serial Correlation in China's Stock Market (Q3102911) (← links)
• An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations (Q3106437) (← links)
• Estimation of Correlation for Continuous Semimartingales (Q3145567) (← links)
• Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market (Q3178528) (← links)
• INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES (Q3557544) (← links)
• A slightly depressing jump model: intraday volatility pattern simulation (Q4554418) (← links)
• Forecasting and trading high frequency volatility on large indices (Q4554453) (← links)
• Short-time at-the-money skew and rough fractional volatility (Q4555069) (← links)
• Pricing and hedging contingent claims using variance and higher order moment swaps (Q4555095) (← links)
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (Q4580032) (← links)
• Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044) (← links)
• Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (Q4619499) (← links)
• Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
• Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data (Q4903032) (← links)
• Local Linear Estimation of Recurrent Jump—Diffusion Models (Q4904678) (← links)
• Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions (Q4916500) (← links)
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
• A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels (Q4966763) (← links)
• The Estimation of Leverage Effect With High-Frequency Data (Q4975343) (← links)
• Nonparametric estimation of jump characteristics under market microstructure noise (Q4976548) (← links)
• ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS (Q5012629) (← links)
• Realized Multi-Power Variation Process for Jump Detection in the Nigerian All Share Index (Q5029310) (← links)
• Spectral projections correlation structure for short-to-long range dependent processes (Q5056737) (← links)
• PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS (Q5069517) (← links)
• Characterizing financial crises using high-frequency data (Q5079366) (← links)
• Detection of jumps in financial time series (Q5083982) (← links)
• Estimating fast mean-reverting jumps in electricity market models (Q5140350) (← links)
• NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS (Q5176864) (← links)
• Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)
• Bootstrapping High-Frequency Jump Tests (Q5231507) (← links)
• Volatility Estimation and Jump Testing via Realized Information Variation (Q5237530) (← links)
• Jump detection with wavelets for high-frequency financial time series (Q5245902) (← links)
• ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (Q5389952) (← links)
• Modelling and Prediction of Financial Time Series (Q5419653) (← links)
• (Q5879927) (← links)
• IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS (Q5880804) (← links)
• Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data (Q6052530) (← links)
• Bootstrapping Laplace transforms of volatility (Q6088832) (← links)
• Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)