Unbiased truncated quadratic variation for volatility estimation in jump
diffusion processes

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Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes

24 April 2019

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Papers citing "Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes"

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Title
Volatility and jump activity estimation in a stable Cox-Ingersoll-Ross model Elise Bayraktar Emmanuelle Clément 102 0 0 31 Jul 2024
Probabilistic models and statistics for electronic financial markets in the digital age Markus Bibinger 59 0 0 11 Jun 2024
$Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent$ Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent M. Bibinger Michael Sonntag 50 0 0 02 May 2023
Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity Chiara Amorino A. Gloter 80 3 0 02 Mar 2022
Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes Chiara Amorino A. Gloter 63 7 0 06 Oct 2021
On the nonparametric inference of coefficients of self-exciting jump-diffusion Chiara Amorino Charlotte Dion A. Gloter Sarah Lemler 64 5 0 24 Nov 2020
Rate of estimation for the stationary distribution of jump-processes over anisotropic Holder classes Chiara Amorino 45 8 0 24 Nov 2020
Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function Chiara Amorino A. Gloter 19 5 0 25 Oct 2019
Inference of Binary Regime Models with Jump Discontinuities Milan Kumar Das Anindya Goswami Sharan Rajani 31 2 0 23 Oct 2019
Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process Fabian Mies 57 10 0 19 Jun 2019