Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale

DOI10.1016/J.SPA.2018.03.006zbMath1409.62164OpenAlexW2789639638WikidataQ130098567 ScholiaQ130098567MaRDI QIDQ1713462

Viktor Todorov

Publication date: 25 January 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2018.03.006

zbMATH Keywords

Fourier transformdeconvolutionspectral densityhigh-frequency datanonparametric inferenceItô semimartingale

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Identifying latent factors based on high-frequency data ⋮ On estimation of quadratic variation for multivariate pure jump semimartingales

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