Similar Search Results - EconBiz

Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high requency return data

Lee, Kyungsub - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 19-36

Persistent link: https://www.econbiz.de/10011431109

Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods

Fičura, Milan; Witzany, Jiří - In: Finance a úvěr 66 (2016) 4, pp. 278-301

Persistent link: https://www.econbiz.de/10011532802

Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Barunik, Jozef; Vácha, Lukáš - 2014

We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized variance into several investment horizons and...

Persistent link: https://www.econbiz.de/10010407510

Parameter identification for fractional Ornstein-Uhlenbeck processes based on discrete observation

Zhang, Pu; Xiao, Wei-lin; Zhang, Xi-li; Niu, Pan-qiang - In: Economic modelling 36 (2014), pp. 198-203

Persistent link: https://www.econbiz.de/10010412366

Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter

Woerner, Jeannette H. C. - 2003

Persistent link: https://www.econbiz.de/10009581651

Estimation of integrated volatility in stochastic volatility models

Woerner, Jeannette H. C. - 2003

Persistent link: https://www.econbiz.de/10009581654

Comment on: limit of random measures associated with the increments of a Brownian Semimartingale : asymptotic behavior of local times related statistics for fractional Brownian mot...

Podolskij, Mark; Rosenbaum, Mathieu - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 588-598

Persistent link: https://www.econbiz.de/10011987969

Estimating the value-at-risk from high-frequency data

Krasnovský, Pavol - In: European financial and accounting journal : EFAJ 10 (2015) 2, pp. 5-11

Persistent link: https://www.econbiz.de/10011471021

The economics of inaction : stochastic control models with fixed costs

Stokey, Nancy L. - 2009

Persistent link: https://www.econbiz.de/10003685477

Optimal proportional reinsurance with common shock dependence

Yuen, Kam Chuen; Liang, Zhibin; Zhou, Ming - In: Insurance / Mathematics & economics 64 (2015), pp. 1-13

Persistent link: https://www.econbiz.de/10011396849

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