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"

4 / 4 papers shown

Title
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 Fabian Mies 59 10 0 19 Jun 2019
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 Michael Hoffmann Mathias Vetter Holger Dette 17 6 0 13 Apr 2017