Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10009425124
Persistent link: https://www.econbiz.de/10001750369
We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...
Persistent link: https://www.econbiz.de/10013144212