Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
DOI10.1186/s13662-020-02832-5zbMath1485.62144OpenAlexW3044514690MaRDI QIDQ2114256
Quanxin Zhu, Jingwei Cai, Ping Chen
Publication date: 15 March 2022
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-020-02832-5
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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