Pages that link to "Item:Q3552978"
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The following pages link to Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (Q3552978):
Displaying 50 items.
- Threshold selection in jump-discriminant filter for discretely observed jump processes (Q257568) (← links)
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
- Quarticity and other functionals of volatility: efficient estimation (Q366987) (← links)
- Volatility occupation times (Q385768) (← 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)
- Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730) (← links)
- Central limit theorems for power variation of Gaussian integral processes with jumps (Q477150) (← links)
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Time-varying leverage effects (Q527980) (← links)
- Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
- Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale (Q529427) (← links)
- A martingale decomposition of discrete Markov chains (Q529765) (← links)
- The speed of convergence of the threshold estimator of integrated variance (Q544491) (← links)
- Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
- New tests for jumps in semimartingale models (Q625314) (← links)
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
- Jump diffusion models and the evolution of financial prices (Q715465) (← links)
- Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← 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)
- Realized Laplace transforms for estimation of jump diffusive volatility models (Q738034) (← links)
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies (Q744376) (← links)
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR (Q784441) (← links)
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485) (← links)
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach (Q1622505) (← links)
- Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like (Q1624494) (← links)
- The effect of infrequent trading on detecting price jumps (Q1633220) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Optimum thresholding using mean and conditional mean squared error (Q1739640) (← links)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- Testing for jumps and jump intensity path dependence (Q1753059) (← links)
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps (Q1800948) (← links)
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models (Q2013803) (← links)
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process (Q2023465) (← links)
- Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467) (← links)
- Nonparametric estimation of jump diffusion models (Q2024442) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Cointegration in high frequency data (Q2044337) (← links)
- Inference on common intraday periodicity at high frequencies (Q2081769) (← links)
- Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps (Q2114256) (← links)
- Likelihood theory for the graph Ornstein-Uhlenbeck process (Q2144193) (← links)
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
- Nonparametric jump variation measures from options (Q2171999) (← links)
- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process (Q2188020) (← links)
- Volatility estimation and jump detection for drift-diffusion processes (Q2190225) (← links)
