The speed of convergence of the threshold estimator of integrated variance

DOI10.1016/j.spa.2010.12.001zbMath1216.62159OpenAlexW2027305388MaRDI QIDQ544491

Cecilia Mancini

Publication date: 15 June 2011

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

Full work available at URL: https://doi.org/10.1016/j.spa.2010.12.001

zbMATH Keywords

infinite activity stable Lévy jumps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Generalizations of martingales (60G48)

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• Fisher's Information for Discretely Sampled Lvy Processes
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Financial Modelling with Jump Processes
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS

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