Fourier transform methods for pathwise covariance estimation in the presence of jumps

DOI10.1016/j.spa.2014.07.023zbMath1347.60009arXiv1301.3602OpenAlexW2022334827MaRDI QIDQ468730

Josef Teichmann, Christa Cuchiero

Publication date: 7 November 2014

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

Full work available at URL: https://arxiv.org/abs/1301.3602

zbMATH Keywords

consistencyFourier analysiscentral limit theoremjump-diffusionjump-robust estimationnon-parametric spot variance estimation

Mathematics Subject Classification ID

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