Efficient estimation of integrated volatility in presence of infinite variation jumps

29 May 2014

Papers citing "Efficient estimation of integrated volatility in presence of infinite variation jumps"

8 / 8 papers shown

Title
Volatility of Volatility and Leverage Effect from Options Carsten H. Chong Viktor Todorov 18 4 0 06 May 2023
Rate-optimal estimation of mixed semimartingales Carsten H. Chong T. Delerue Fabian Mies 13 5 0 21 Jul 2022
Nonparametric Estimation for SDE with Sparsely Sampled Paths: an FDA Perspective Neda Mohammadi Leonardo P. M. Santoro V. Panaretos 24 4 0 27 Oct 2021
Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process Fabian Mies 17 10 0 19 Jun 2019
High-frequency analysis of parabolic stochastic PDEs Carsten H. Chong 16 52 0 18 Jun 2018
Testing for pure-jump processes for high-frequency data Xinbing Kong Zhi Liu Bing-Yi Jing 35 52 0 02 Apr 2015
Near-optimal estimation of jump activity in semimartingales Adam D. Bull 27 17 0 29 Sep 2014
Estimating time-changes in noisy Lévy models Adam D. Bull 45 10 0 20 Dec 2013