Jump activity estimation for pure-jump semimartingales via self-normalized statistics

18 August 2015

Papers citing "Jump activity estimation for pure-jump semimartingales via self-normalized statistics"

7 / 7 papers shown

Title
Testing for pure-jump processes for high-frequency data Xinbing Kong Zhi Liu Bing-Yi Jing 49 52 0 02 Apr 2015
Realized Laplace transforms for pure-jump semimartingales Viktor Todorov George Tauchen 99 34 0 24 Jul 2012
Quarticity and other functionals of volatility: Efficient estimation J. Jacod M. Rosenbaum 83 124 0 16 Jul 2012
Statistical inference for time-changed Lévy processes via composite characteristic function estimation Denis Belomestny 115 50 0 01 Mar 2010
$Spectral estimation of the fractional order of a Lévy process$ Spectral estimation of the fractional order of a Lévy process Denis Belomestny 212 54 0 12 Jan 2010
Estimating the degree of activity of jumps in high frequency data Yacine Ait-Sahalia J. Jacod 95 263 0 21 Aug 2009
Nonparametric estimation for Lévy processes from low-frequency observations Michael H. Neumann M. Reiß 130 154 0 13 Sep 2007