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Drift burst test statistic in a pure jump semimartingale model
Mancini, Cecilia - 2021
Persistent link: https://www.econbiz.de/10013347728
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Drift burst test statistic in the presence of infinite variation jumps
Mancini, Cecilia - 2022
Persistent link: https://www.econbiz.de/10013535744
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Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter
Woerner, Jeannette H. C. - 2003
Persistent link: https://www.econbiz.de/10009581651
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Estimation of integrated volatility in stochastic volatility models
Woerner, Jeannette H. C. - 2003
Persistent link: https://www.econbiz.de/10009581654
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Variational sums and power variation : a unifying approach to model selection and estimation in semimartingale models
Woerner, Jeannette H. C. - 2002
Persistent link: https://www.econbiz.de/10009581659
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The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.; Zhang, Lan; Chen, Dachuan - In: Journal of econometrics 208 (2019) 1, pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
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Limit of random measures associated with the increments of a brownian semimartingale
Jacod, Jean - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 526-569
Persistent link: https://www.econbiz.de/10011987890
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Jumps or staleness?
Kolokolov, Aleksey; Renò, Roberto - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 516-532
Persistent link: https://www.econbiz.de/10015053424
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Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Journal of econometrics 212 (2019) 1, pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591