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

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Autor(in)
Cuchiero, Christa
Teichmann, Josef
Datum
2015-01
Typ
    Journal Article
Publikationsstatus
published
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Zeitschrift / Serie
Stochastic Processes and their Applications
Band
125(1)
Seiten / Artikelnummer
116 - 160
Verlag
Elsevier
Thema
Non-parametric spot variance estimation; Fourier analysis; Jump–diffusion; Jump-robust estimation techniques
Organisationseinheit
03845 - Teichmann, Josef / Teichmann, Josef  
Anmerkungen
Received 10 July 2013, Revised 13 June 2014, Accepted 30 July 2014, Available online 19 August 2014.
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