Fourier transform methods for pathwise covariance estimation in the presence of jumps
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Author / Producer
Date
2015-01
Publication Type
Journal Article
ETH Bibliography
yes
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Altmetric
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Rights / License
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Publication status
published
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Book title
Journal / series
Volume
125 (1)
Pages / Article No.
116 - 160
Publisher
Elsevier
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Non-parametric spot variance estimation; Fourier analysis; Jump–diffusion; Jump-robust estimation techniques
Organisational unit
03845 - Teichmann, Josef / Teichmann, Josef
Notes
Received 10 July 2013, Revised 13 June 2014, Accepted 30 July 2014, Available online 19 August 2014.