Pages that link to "Item:Q834337"

The following pages link to Estimating the degree of activity of jumps in high frequency data (Q834337):

Displaying 50 items.

• Estimation of state-dependent jump activity and drift for Markovian semimartingales (Q2189127) (← links)
• Joint estimation for SDE driven by locally stable Lévy processes (Q2192325) (← links)
• High-frequency analysis of parabolic stochastic PDEs (Q2196213) (← links)
• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles (Q2212816) (← links)
• Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process (Q2215954) (← links)
• Convergence of extreme values of Poisson point processes at small times (Q2231310) (← links)
• Non parametric estimation of the diffusion coefficients of a diffusion with jumps (Q2280030) (← links)
• A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation (Q2294509) (← links)
• Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process (Q2326069) (← links)
• Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
• Nonparametric Gaussian inference for stable processes (Q2330965) (← links)
• Estimating functions for SDE driven by stable Lévy processes (Q2337827) (← links)
• Testing for pure-jump processes for high-frequency data (Q2343966) (← links)
• Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
• Truncated realized covariance when prices have infinite variation jumps (Q2359710) (← links)
• Tightness and convergence of trimmed Lévy processes to normality at small times (Q2360647) (← links)
• Alpha-CIR model with branching processes in sovereign interest rate modeling (Q2364536) (← links)
• Option pricing and hedging for optimized Lévy driven stochastic volatility models (Q2410398) (← links)
• Parametric inference for discretely observed subordinate diffusions (Q2417988) (← links)
• A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns (Q2430251) (← links)
• Efficient learning via simulation: a marginalized resample-move approach (Q2442455) (← links)
• Optimally thresholded realized power variations for Lévy jump diffusion models (Q2447648) (← links)
• Measuring the relevance of the microstructure noise in financial data (Q2447651) (← links)
• Power variation from second order differences for pure jump semimartingales (Q2447655) (← links)
• Asymptotically optimal discretization of hedging strategies with jumps (Q2454402) (← links)
• Efficient estimation of integrated volatility in presence of infinite variation jumps (Q2510826) (← links)
• Testing for diffusion in a discretely observed semimartingale (Q2511575) (← links)
• Volatility activity: specification and estimation (Q2512607) (← links)
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics (Q2515498) (← links)
• Activity signature functions for high-frequency data analysis (Q2630154) (← links)
• Identifying latent factors based on high-frequency data (Q2688663) (← links)
• On the estimation of regime-switching Lévy models (Q2691688) (← links)
• Estimation and Calibration of Lévy Models via Fourier Methods (Q2786961) (← links)
• A new look at short-term implied volatility in asset price models with jumps (Q2788693) (← links)
• The identification of price jumps (Q2882552) (← links)
• Central limit theorems for the non-parametric estimation of time-changed Lévy models (Q2911696) (← links)
• ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION (Q2976209) (← links)
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← links)
• Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data (Q3095175) (← links)
• Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps (Q3120661) (← links)
• Information arrival as price jumps (Q3145035) (← links)
• Constant proportion portfolio insurance strategies in contagious markets (Q4554427) (← links)
• Instantaneous portfolio theory (Q4554500) (← links)
• Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208) (← links)
• A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (Q4917298) (← links)
• Nonparametric estimation of volatility function in the jump-diffusion model with noisy data (Q4987543) (← links)
• Explicit and combined estimators for parameters of stable distributions (Q5023858) (← links)
• Characterizing financial crises using high-frequency data (Q5079366) (← links)
• Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)