Optimum thresholding using mean and conditional mean squared error
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DOI: 10.1016/j.jeconom.2018.09.011
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Citations
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Cited by:
- Rachele Foschi & Francesca Lilla & Cecilia Mancini, 2020. "Warnings about future jumps: properties of the exponential Hawkes model," Working Papers 13/2020, University of Verona, Department of Economics.
- Aït-Sahalia, Yacine & Kalnina, Ilze & Xiu, Dacheng, 2020. "High-frequency factor models and regressions," Journal of Econometrics, Elsevier, vol. 216(1), pages 86-105.
- José E. Figueroa-López & Ruoting Gong & Yuchen Han, 2022. "Estimation of Tempered Stable Lévy Models of Infinite Variation," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 713-747, June.
- José E. Figueroa-López & Cheng Li & Jeffrey Nisen, 2020. "Optimal iterative threshold-kernel estimation of jump diffusion processes," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 517-552, October.
- José E. Figueroa-López & Jeffrey Nisen, 2019. "Second-order properties of thresholded realized power variations of FJA additive processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 431-474, October.
- Jos'e E. Figueroa-L'opez & Ruoting Gong & Yuchen Han, 2021. "Estimation of Tempered Stable L\'{e}vy Models of Infinite Variation," Papers 2101.00565, arXiv.org, revised Feb 2022.
- Milan Kumar Das & Anindya Goswami & Sharan Rajani, 2023. "Inference of Binary Regime Models with Jump Discontinuities," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 49-86, May.
- B. Cooper Boniece & Jos'e E. Figueroa-L'opez & Yuchen Han, 2023. "Data-driven fixed-point tuning for truncated realized variations," Papers 2311.00905, arXiv.org, revised Oct 2024.
- Yi-di Hua & Ke-man Hu & Lu-yi Qiu & Hong-an Dong & Lei Ding & Sio-Long Lo, 2022. "Exploring the interaction relationship between Beautiful China-SciTech innovation using coupling coordination and predictive analysis: a case study of Zhejiang," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 24(10), pages 12097-12130, October.
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More about this item
Keywords
Threshold estimator; Integrated variance; Lévy jumps; Mean and conditional mean squared error; Feasible tuning of estimation parameters;All these keywords.
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
Statistics
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