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.

• Threshold selection in jump-discriminant filter for discretely observed jump processes (Q257568) (← links)
• Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes (Q268739) (← links)
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
• Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361) (← links)
• Nonparametric inference on Lévy measures and copulas (Q366990) (← links)
• Estimation of the activity of jumps in time-changed Lévy models (Q391841) (← links)
• The asymptotics of the integrated self-weighted cross volatility estimator (Q394775) (← links)
• Asymptotic lower bounds in estimating jumps (Q395992) (← links)
• Confidence interval of the jump activity index based on empirical likelihood using high frequency data (Q434532) (← links)
• Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
• Realized Laplace transforms for pure-jump semimartingales (Q447866) (← links)
• Measuring the roughness of random paths by increment ratios (Q453302) (← links)
• Nonparametric tests for pathwise properties of semimartingales (Q453304) (← links)
• Statistical estimation of Lévy-type stochastic volatility models (Q470521) (← links)
• Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions (Q476746) (← links)
• Central limit theorems for power variation of Gaussian integral processes with jumps (Q477150) (← links)
• Convergence of trimmed Lévy processes to trimmed stable random variables at 0 (Q492945) (← links)
• Testing for jumps in noisy high frequency data (Q527932) (← links)
• Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale (Q529427) (← links)
• Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (Q535202) (← links)
• Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)
• The speed of convergence of the threshold estimator of integrated variance (Q544491) (← links)
• Spectral estimation of the Lévy density in partially observed affine models (Q544516) (← links)
• Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
• Is Brownian motion necessary to model high-frequency data? (Q605940) (← links)
• Testing whether jumps have finite or infinite activity (Q638809) (← links)
• Identifying the successive Blumenthal-Getoor indices of a discretely observed process (Q693731) (← links)
• Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
• Nonparametric estimation for a class of Lévy processes (Q736519) (← 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)
• On the jump activity index for semimartingales (Q738115) (← links)
• Bootstrap testing for discontinuities under long-range dependence (Q764501) (← links)
• Trading-flow assisted estimation of the jump activity index (Q829093) (← links)
• Spectral estimation of the fractional order of a Lévy process (Q847639) (← links)
• Limit theorems for moving averages of discretized processes plus noise (Q973875) (← links)
• Option pricing for stochastic volatility model with infinite activity Lévy jumps (Q1619524) (← links)
• Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
• Testing for self-excitation in jumps (Q1706487) (← links)
• Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale (Q1713462) (← links)
• Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation (Q1751974) (← 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)
• A spectral estimation of tempered stable stochastic volatility models and option pricing (Q1927145) (← links)
• Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine (Q2000331) (← links)
• Bandwidth selection of nonparametric threshold estimator in jump-diffusion models (Q2013803) (← links)
• Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467) (← links)
• Estimation of tempered stable Lévy models of infinite variation (Q2152238) (← links)
• On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance (Q2153520) (← links)
• Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation (Q2163140) (← links)