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Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - 2009
Persistent link: https://www.econbiz.de/10003849562
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Local whittle estimation of multivariate fractionally integrated processes
Nielsen, Frank - 2009
Persistent link: https://www.econbiz.de/10003875666
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Nonparametric detection and estimation of structural change
Kristensen, Dennis - 2011
Persistent link: https://www.econbiz.de/10008986681
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Generalized jackknife estimators of weighted average derivatives
Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - 2011
Persistent link: https://www.econbiz.de/10008986686
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Robust data-driven inference for density-weighted average derivatives
Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - 2009
Persistent link: https://www.econbiz.de/10003883600
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Semiparametric modelling and estimation : a selective overview
Kristensen, Dennis - 2009
Persistent link: https://www.econbiz.de/10003883603
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Unstable volatility functions : the break preserving local linear estimator
Casas, Isabel; Gijbels, Irène - 2009
Persistent link: https://www.econbiz.de/10003892556
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Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009
estimators allow for the development of an asymptotic limit theory in the presence of jumps. Finally, they retain the local …
Persistent link: https://www.econbiz.de/10003898519
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Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
Barndorff-Nielsen, Ole E.; Corcuera, José Manual; … - 2009
Persistent link: https://www.econbiz.de/10003914217
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008663983