Fourier transform methods for pathwise covariance estimation in the presence of jumps

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Author
Cuchiero, Christa
Teichmann, Josef
Date
2015-01
Type
    Journal Article
Publication status
published
External links
Journal / series
Stochastic Processes and their Applications
Volume
125(1)
Pages / Article No.
116 - 160
Publisher
Elsevier
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.
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