Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
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DOI: 10.1016/j.spa.2020.04.010
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Cited by:
- B. Cooper Boniece & Jos'e E. Figueroa-L'opez & Yuchen Han, 2022. "Efficient Volatility Estimation for L\'evy Processes with Jumps of Unbounded Variation," Papers 2202.00877, arXiv.org.
- 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.
- Chiara Amorino & Arnaud Gloter, 2021. "Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function," Statistical Inference for Stochastic Processes, Springer, vol. 24(1), pages 61-148, April.
- B. Cooper Boniece & Jos'e E. Figueroa-L'opez & Yuchen Han, 2022. "Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations," Papers 2209.10128, arXiv.org, revised Apr 2024.
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Keywords
Lévy-driven SDE; Integrated variance; Threshold estimator; Convergence speed; High frequency data;All these keywords.
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