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Estimating time changes in noisy Levy models

Type: Journal Paper

Author : Bull, Adam D.

Publisher: The Institute of Mathematical Statistics

Year: 2014

Efficient estimation of integrated volatility in presence of infinite variation jumps

Type: Journal Paper

Author : Jacod, Jean - Todorov, Viktor

Publisher: The Institute of Mathematical Statistics

Year: 2014

A test for the rank of the volatility process: The random perturbation approach

Type: Journal Paper

Author : Jacod, Jean - Podolskij, Mark

Publisher: The Institute of Mathematical Statistics

Year: 2013

Author

Bull, Adam D. (1)

Jacod, Jean - Podolskij, Mark (1)

Jacod, Jean - Todorov, Viktor (1)

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The Institute of Mathematical Statistics (3)

Year

2014 (2)

2013 (1)

Keywords

Ito semimartingale (2)

Central limit theorem (1)

central limit theorem (1)

high frequency data (1)

homoscedasticity testing (1)

integrated volatility (1)

Ito semimartingales (1)

Levy process (1)

microstructure noise (1)

Quadratic variation (1)

Type

Journal Paper (3)

Language (ISO)

English (3)

Content Type

Metadata Only (3)

Publication Title

The Annals of Statistics (3)

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