Estimating time-changes in noisy Lévy models

20 December 2013

Papers citing "Estimating time-changes in noisy Lévy models"

9 / 9 papers shown

Title
Efficient estimation of integrated volatility in presence of infinite variation jumps J. Jacod Viktor Todorov 75 76 0 29 May 2014
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps J. Jacod M. Reiß 76 48 0 19 Sep 2012
Asymptotic equivalence for inference on the volatility from noisy observations M. Reiß 97 93 0 11 May 2011
Adaptive wavelet estimation of the diffusion coefficient under additive error measurements M. Hoffmann Axel Munk Johannes Schmidt-Hieber 120 21 0 27 Jul 2010
Statistical inference for time-changed Lévy processes via composite characteristic function estimation Denis Belomestny 115 50 0 01 Mar 2010
Lower bounds for volatility estimation in microstructure noise models Axel Munk Johannes Schmidt-Hieber 90 26 0 16 Feb 2010
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps M. Podolskij Mathias Vetter 100 309 0 04 Sep 2009
Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise Axel Munk Johannes Schmidt-Hieber 88 26 0 21 Aug 2009
Estimating the degree of activity of jumps in high frequency data Yacine Ait-Sahalia J. Jacod 95 263 0 21 Aug 2009