Volatility estimation and jump detection for drift-diffusion processes
Year of publication: |
2020
|
---|---|
Authors: | Laurent, Sébastien ; Shi, Shuping |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 2, p. 259-290
|
Subject: | Jumps | Diffusion process | Finite sample theory | Nonzero drift | Volatility estimation | Volatilität | Volatility | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
-
Hautsch, Nikolaus, (2013)
-
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe, (2024)
-
Moment-based estimation of stochastic volatility
Bregantini, Daniele, (2013)
- More ...
-
Unit root test with high-frequency data
Laurent, Sébastien, (2022)
-
Testing for Jumps in Near Non-Stationary Diffusion Processes
Laurent, Sébastien, (2017)
-
Unit Root Test with High-Frequency Data
Laurent, Sébastien, (2019)
- More ...