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

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

18 August 2015
Viktor Todorov
ArXiv (abs)PDFHTML

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

4 / 4 papers shown
Title
On estimation of quadratic variation for multivariate pure jump
  semimartingales
On estimation of quadratic variation for multivariate pure jump semimartingales
Johannes Heiny
M. Podolskij
15
5
0
06 Sep 2020
Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy
  process
Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
Fabian Mies
59
10
0
19 Jun 2019
Unbiased truncated quadratic variation for volatility estimation in jump
  diffusion processes
Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
Chiara Amorino
A. Gloter
48
13
0
24 Apr 2019
Nonparametric inference of gradual changes in the jump behaviour of
  time-continuous processes
Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
Michael Hoffmann
Mathias Vetter
Holger Dette
17
6
0
13 Apr 2017
1