Pages that link to "Item:Q447825"

The following pages link to Modeling high-frequency financial data by pure jump processes (Q447825):

Displaying 42 items.

• A specification test of stochastic diffusion models (Q385188) (← links)
• Central limit theorems for power variation of Gaussian integral processes with jumps (Q477150) (← links)
• Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes (Q529424) (← links)
• Lévy copulae for financial returns (Q727660) (← links)
• A stable Cox-Ingersoll-Ross model with restart (Q739517) (← links)
• Trading-flow assisted estimation of the jump activity index (Q829093) (← links)
• On the systematic and idiosyncratic volatility with large panel high-frequency data (Q1650070) (← links)
• Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching (Q1699079) (← links)
• Testing for self-excitation in jumps (Q1706487) (← links)
• Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process (Q1730944) (← links)
• First passage time of a Lévy degradation model with random effects (Q1739386) (← links)
• Is a pure jump process fitting the high frequency data better than a jump-diffusion process? (Q1926545) (← links)
• A rank test for the number of factors with high-frequency data (Q2000871) (← links)
• A method to get a more stationary process and its application in finance with high-frequency data of Chinese index futures (Q2159689) (← links)
• Joint estimation for SDE driven by locally stable Lévy processes (Q2192325) (← 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)
• Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
• Clustering of financial instruments using jump tail dependence coefficient (Q2324271) (← links)
• Testing for pure-jump processes for high-frequency data (Q2343966) (← links)
• Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model (Q2347462) (← links)
• Testing long memory based on a discretely observed process (Q2362937) (← links)
• Jump-diffusion models with constant parameters for financial log-return processes (Q2389758) (← links)
• Purely discontinuous asset price processes (Q2771102) (← links)
• (Q2940155) (← links)
• A Pure-Jump Transaction-Level Price Model Yielding Cointegration (Q3063005) (← links)
• Robust feature screening for multi-response trans-elliptical regression model with ultrahigh-dimensional covariates (Q3387069) (← links)
• Modelling Financial High Frequency Data Using Point Processes (Q3646988) (← links)
• Pairs trading with a mean-reverting jump–diffusion model on high-frequency data (Q4619518) (← links)
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
• LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process (Q4967796) (← links)
• Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
• Jump-detection and curve estimation methods for discontinuous regression functions based on the piecewise B-spline function (Q5075487) (← links)
• INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS (Q5243484) (← links)
• RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR (Q5358112) (← links)
• A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH (Q5483505) (← links)
• Testing the volatility jumps based on the high frequency data (Q6134625) (← links)
• Optimal Execution with Quadratic Variation Inventories (Q6169622) (← links)
• Nonparametric evaluation of the first passage time of degradation processes (Q6574580) (← links)
• Estimating Jump Activity Using Multipower Variation (Q6620838) (← links)
• Large-Dimensional Factor Analysis Without Moment Constraints (Q6620853) (← links)
• Jumps or Staleness? (Q6626220) (← links)