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09/21/2022
Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations
Statistical inference for stochastic processes based on high-frequency o...
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01/03/2021
Estimation of Tempered Stable Lévy Models of Infinite Variation
In this paper we propose a new method for the estimation of a semiparame...
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04/04/2020
Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging
We first revisit the problem of kernel estimation of spot volatility in ...
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09/11/2019
Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise
Volatility estimation based on high-frequency data is key to accurately ...
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11/19/2018
