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We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale …. Moreover, with slightly stronger conditions, in particular a zero drift-term, we find an asymptotic distribution theory. To …
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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...
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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...
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