Fourier transform methods for pathwise covariance estimation in the presence of jumps
dc.contributor.author
Cuchiero, Christa
dc.contributor.author
Teichmann, Josef
dc.date.accessioned
2017-06-11T01:01:39Z
dc.date.available
2017-06-11T01:01:39Z
dc.date.issued
2015-01
dc.identifier.issn
0304-4149
dc.identifier.issn
1879-209X
dc.identifier.other
10.1016/j.spa.2014.07.023
dc.identifier.uri
http://hdl.handle.net/20.500.11850/75742
dc.language.iso
en
dc.publisher
Elsevier
dc.subject
Non-parametric spot variance estimation
dc.subject
Fourier analysis
dc.subject
Jump–diffusion
dc.subject
Jump-robust estimation techniques
dc.title
Fourier transform methods for pathwise covariance estimation in the presence of jumps
dc.type
Journal Article
ethz.journal.title
Stochastic Processes and their Applications
ethz.journal.volume
125
ethz.journal.issue
1
ethz.pages.start
116
ethz.pages.end
160
ethz.notes
Received 10 July 2013, Revised 13 June 2014, Accepted 30 July 2014, Available online 19 August 2014.
ethz.identifier.wos
ethz.identifier.nebis
000025024
ethz.publication.place
Amsterdam
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.date.deposited
2017-06-11T01:04:03Z
ethz.source
ECIT
ethz.identifier.importid
imp5936514888baf17705
ethz.ecitpid
pub:119541
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-13T13:05:29Z
ethz.rosetta.lastUpdated
2024-02-01T21:12:13Z
ethz.rosetta.versionExported
true
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