Pages that link to "Item:Q1398983"
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The following pages link to On the functional estimation of jump-diffusion models. (Q1398983):
Displaying 50 items.
- A simple approach to the parametric estimation of potentially nonstationary diffusions (Q276917) (← links)
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan (Q289216) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models (Q313647) (← links)
- Local \(M\)-estimation for jump-diffusion processes (Q449381) (← links)
- Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions (Q476746) (← links)
- Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models (Q491007) (← links)
- Time-varying leverage effects (Q527980) (← links)
- Estimation of semiparametric locally stationary diffusion models (Q528037) (← links)
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
- Empirical likelihood inference for diffusion processes with jumps (Q625786) (← links)
- Statistical specification of jumps under semiparametric semimartingale models (Q734535) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
- Threshold estimation of Markov models with jumps and interest rate modeling (Q737264) (← links)
- Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate (Q782628) (← links)
- The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes (Q1631415) (← links)
- The jump size distribution of the commodity spot price and its effect on futures and option prices (Q1667549) (← links)
- The role of the risk-neutral jump size distribution in single-factor interest rate models (Q1668933) (← links)
- A multiplicative seasonal component in commodity derivative pricing (Q1676014) (← links)
- Reweighted Nadaraya-Watson estimation of jump-diffusion models (Q1934471) (← links)
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models (Q2013803) (← links)
- Nonparametric estimation of jump diffusion models (Q2024442) (← links)
- Efficient estimation and filtering for multivariate jump-diffusions (Q2024483) (← links)
- Data-driven inference for stationary jump-diffusion processes with application to membrane voltage fluctuations in pyramidal neurons (Q2179530) (← links)
- Estimation of state-dependent jump activity and drift for Markovian semimartingales (Q2189127) (← links)
- Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models (Q2274269) (← links)
- Estimating functions for jump-diffusions (Q2274300) (← links)
- The invariant distribution of wealth and employment status in a small open economy with precautionary savings (Q2283130) (← links)
- Bias free threshold estimation for jump intensity function (Q2322803) (← links)
- Nonparametric Gaussian inference for stable processes (Q2330965) (← links)
- Comparison of jump-diffusion parameters using passage times estimation (Q2336891) (← links)
- Spot volatility estimation using delta sequences (Q2339119) (← links)
- A note on Bayesian identification of change points in data sequences (Q2384592) (← links)
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise (Q2412765) (← links)
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration (Q2513456) (← links)
- Empirical likelihood-based inference for nonparametric recurrent diffusions (Q2630085) (← links)
- Structural estimation of jump-diffusion processes in macroeconomics (Q2630127) (← links)
- Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models (Q2671659) (← links)
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels (Q2697059) (← links)
- Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion (Q2798172) (← links)
- Asymptotic inference for jump diffusions with state-dependent intensity (Q2815596) (← links)
- Estimation of stochastic volatility models by nonparametric filtering (Q2826006) (← links)
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results (Q2878817) (← links)
- Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps (Q3120661) (← links)
- Local Linear Estimation of Second-order Jump-diffusion Model (Q3458130) (← links)
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (Q3552978) (← links)
- ELECTRICITY PRICES: A NONPARAMETRIC APPROACH (Q3564994) (← links)
- NONPARAMETRIC STOCHASTIC VOLATILITY (Q4554602) (← links)
- Adaptive nonparametric drift estimation of an integrated jump diffusion process (Q4615437) (← links)
