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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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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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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008663983
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Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich; Veliyev, Bezirgen - 2015
Persistent link: https://www.econbiz.de/10010529455
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Uniform consistency for nonparametric estimators in null recurrent time series
Gao, Jiti; Kanaya, Shin; Li, Degui; Tjostheim, Dag - 2013
Persistent link: https://www.econbiz.de/10009790613
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Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel - 2016
Persistent link: https://www.econbiz.de/10011524100
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Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
Kristensen, Dennis - 2009
Persistent link: https://www.econbiz.de/10003878806
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Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2021
Persistent link: https://www.econbiz.de/10012434016
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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863181