Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
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Citations
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Cited by:
- Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Multipower Variation for Brownian Semistationary Processes," CREATES Research Papers 2009-21, Department of Economics and Business Economics, Aarhus University.
- Liu, Guangying & Zhang, Xinsheng, 2011. "Power variation of fractional integral processes with jumps," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 962-972, August.
- Tim Bollerslev & Viktor Todorov, 2011.
"Estimation of Jump Tails,"
Econometrica,
Econometric Society, vol. 79(6), pages 1727-1783, November.
- Tim Bollerslev & Viktor Todorov, 2010. "Estimation of Jump Tails," Working Papers 10-37, Duke University, Department of Economics.
- Tim Bollerslev & Viktor Todorov, 2010. "Estimation of Jump Tails," CREATES Research Papers 2010-16, Department of Economics and Business Economics, Aarhus University.
- Figueroa-López, José E. & Houdré, Christian, 2009. "Small-time expansions for the transition distributions of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 119(11), pages 3862-3889, November.
- Figueroa-López, José E., 2008. "Small-time moment asymptotics for Lévy processes," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3355-3365, December.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006.
"Predicting volatility: getting the most out of return data sampled at different frequencies,"
Journal of Econometrics,
Elsevier, vol. 131(1-2), pages 59-95.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
- Todorov, Viktor, 2013. "Power variation from second order differences for pure jump semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2829-2850.
- Diop, Assane & Jacod, Jean & Todorov, Viktor, 2013. "Central Limit Theorems for approximate quadratic variations of pure jump Itô semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 839-886.
- Vetter, Mathias, 2014. "Inference on the Lévy measure in case of noisy observations," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 125-133.
- Barndorff-Nielsen, Ole E. & Corcuera, José Manuel & Podolskij, Mark, 2009.
"Power variation for Gaussian processes with stationary increments,"
Stochastic Processes and their Applications,
Elsevier, vol. 119(6), pages 1845-1865, June.
- Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007. "Power variation for Gaussian processes with stationary increments," CREATES Research Papers 2007-42, Department of Economics and Business Economics, Aarhus University.
- Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij & Jeannette H.C. Woerner, 2008. "Bipower variation for Gaussian processes with stationary increments," CREATES Research Papers 2008-21, Department of Economics and Business Economics, Aarhus University.
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