Volatility estimation and jump detection for drift-diffusion processes
Sébastien Laurent, Shuping Shi
| Year of publication: |
2020
|
|---|---|
| Authors: | Laurent, Sébastien ; Shi, Shuping |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 2, p. 259-290
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| Subject: | Jumps | Diffusion process | Finite sample theory | Nonzero drift | Volatility estimation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Markov-Kette | Markov chain | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.12.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482762