We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for … problems. Second, we apply nonlinear-nonstationary parametric and non-parametric estimation techniques to estimate the pairwise …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

of asymptotic theory and the estimation of standard errors. The proposed robust confidence interval estimators permit a …

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence … memory requires major revisions in the standard estimation procedures without which the estimated results can be seriously …