Real-time estimation scheme for the spot cross volatility of jump diffusion processes

DOI10.1016/j.matcom.2010.01.009zbMath1192.62191OpenAlexW2073535820MaRDI QIDQ982924

Shigeyoshi Ogawa, Hoang-Long Ngo

Publication date: 28 July 2010

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.01.009

zbMATH Keywords

diffusion processjump processthreshold estimatorquadratic variation schemespot cross volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis ⋮ Parametric estimation for discretely observed stochastic processes with jumps

Cites Work

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