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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...
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We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale …
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Girsanov principle that generalizes Duan's (1995) delta hedge. Since the minimal martingale measure fails to produce a …
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