Fourier transform methods for pathwise covariance estimation in the presence of jumps
Metadata only
Date
2015-01Type
- Journal Article
Publication status
publishedJournal / series
Stochastic Processes and their ApplicationsVolume
Pages / Article No.
Publisher
ElsevierSubject
Non-parametric spot variance estimation; Fourier analysis; Jump–diffusion; Jump-robust estimation techniquesOrganisational unit
03845 - Teichmann, Josef / Teichmann, Josef
Notes
Received 10 July 2013, Revised 13 June 2014, Accepted 30 July 2014, Available online 19 August 2014.More
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