Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations-Reference-Cited by-同舟云学术

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Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations

Published:2020-03 Issue:3 Volume:130 Page:1159-1205
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Kato Kengo,Kurisu Daisuke^ORCID

Funder

Japan Society for the Promotion of Science

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference67 articles.

1. Disentangling diffusions from jumps;Aït-Sahalia;J. Financ. Econ.,2004

2. Volatility estimators for discretely sampled Lévy processes;Aït-Sahalia;Ann. Statist.,2007

3. High-Frequency Financial Econometrics;Aït-Sahalia,2014

4. A hausman test for the presence of noise in high frequency data;Aït-Sahalia;J. Econometrics,2018

5. Power and bipower variation with stochastic volatility and jumps;Barndorff-Nielsen;J. Financ. Econ.,2004

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1. Nonparametric regression for locally stationary random fields under stochastic sampling design;Bernoulli;2022-05-01

2. ON THE UNIFORM CONVERGENCE OF DECONVOLUTION ESTIMATORS FROM REPEATED MEASUREMENTS;Econometric Theory;2021-01-25

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