Nonparametric Transition-Based Tests for Jump Diffusions
By Yacine Aït-Sahalia, Jianqing Fan, Heng Peng. 2009
93 citations recorded by the source corpus.
Subfields: Finance, Mathematical Physics, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/3d222339a30eb5a58505561c0e47b7d333e1dbaa
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- D. Xiu
- Yacine Aït-Sahalia
- Ilze Kalniņa
- Markus Bibinger
- V. Todorov
- Jean Jacod
- Markus Pelger
- George Tauchen
In Mathematical Physics
In Statistics and Probability
- D. Xiu
- Ilze Kalniņa
- Yacine Aït-Sahalia
- Chenxu Li
- Osnat Stramer
- Ia Matthew Bognar
- Arnak S. Dalalyan
- Markus Reiß
Citations in the corpus
- High-frequency factor models and regressions (2020, methodology): “, Aı̈t-Sahalia et al. (2009), Ang and Kristensen (2012), and Bandi and Phillips (2003)), since we work with Itô semimartingales.”
- Testing Conditional Factor Models: A Nonparametric Approach (2011, unknown): “, Bansal and Viswanathan (1993); Wang (2003); Hong and Li (2005); Ait-Sahalia et al. (2009); Nagel and Singleton (forthcoming)).”