Showing 1 - 10 of 6,155
Persistent link: https://www.econbiz.de/10011326801
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011524214
-time conveniently accounts for the difference in observation frequency. We suggest the use of martingale estimating functions (MEF) to …
Persistent link: https://www.econbiz.de/10010417979
Persistent link: https://www.econbiz.de/10001442896
Persistent link: https://www.econbiz.de/10013275390
, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems where a …
Persistent link: https://www.econbiz.de/10012305035
Persistent link: https://www.econbiz.de/10012110313
Persistent link: https://www.econbiz.de/10011917437
Persistent link: https://www.econbiz.de/10011920538