Threshold selection in jump-discriminant filter for discretely observed jump processes
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- Blanke, D. & Bosq, D., 2016. "Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 119-137.
- Yuta Koike, 2014. "An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 460-481, June.
- repec:bla:scjsta:v:44:y:2017:i:4:p:951-988 is not listed on IDEAS
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KeywordsThreshold estimation; Jump-discriminant filter; Integrated-volatility; Asymptotic unbiasedness; Plug-in method; 62M09; 62P05;
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