Disentangling the jumps of the diffusion in a geometric jumping Brownian motion

By Cecilia Mancini. 2001

182 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/75553bcac81ebe500c9c621bffa8f95348eea401

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Citations in the corpus

Understanding limit theorems for semimartingales: a short survey (2009, background): “Theorem 3.1, Example 3.2 and Theorem 3.6 of this paper or [4], [ 17 ]), or for performing various test procedures (see e.g.”
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013, background): “In the case of finitely many jumps, these can be removed as in Mancini (2001) and Lee and Mykland (2008).”
Testing for Common Arrivals of Jumps for Discretely Observed Multidimensional Processes (2009, background): “Tests for deciding whether a given path has jumps or not on the interval [0, T ] have been already developed (see [1], [4], [14], [16], [17], [19]; [3] and [5] discuss some multivariate extensions of the test in [4]).”
IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (2012, methodology): “Our estimator, ˆICn , is an extension to the bivariate framework of the threshold criterion (introduced by Mancini, 2001), where only the variations under a given threshold function are taken into account, which makes it possible (Mancini, 2009) to identify all the time intervals ]tj−1, tj ] where…”
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (2010, background): “been proposed in the literature, e.g., Jiang & Oomen (2005) and Mancini (2005) , and it would be interesting to compare and contrast the results obtained here to some of these alternative schemes.”
High-Frequency Jump Analysis of the Bitcoin Market* (2017, background): “Barndorff-Nielsen and Shephard (2006), Aı̈t-Sahalia and Jacod (2009), Mancini (2001), Lee and Mykland (2008) develop statistical tools to test for the presence of jumps.”
Measuring Downside Risk - Realised Semivariance (2008, background): “Sortino and Satchell (2001) look at recent developments and provide a review, while Pedersen and Satchell (2002) look 2Threshold based decompositions have also been suggested in the literature, examples of this include Mancini (2001), Jacod (2007) and Lee and Mykland (2008).”
Adaptive estimation of continuous-time regression models using high-frequency data (2017, methodology): “(3.1) Here, kn is the smoothing parameter for local estimation and vn specifies the truncation threshold (see Mancini, 2001) for ‘‘eliminating’’ jumps in X .”
Testing whether jumps have finite or infinite activity (2011, methodology): “Cont and Mancini (2009) use threshold or truncation-based estimators of the continuous component of the quadratic variation, originally proposed in Mancini (2001), in order to test for the presence of a continuous component in the price process.”
Lévy Processes in Finance: Inverse Problems and Dependence Modelling (2004, background): “The redundancy of small jumps and diffusion component has been pointed out by other authors in the context of statistical estimation on time series [15, 69].”
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2009, background): “…tests have been proposed for the presence of jumps on the “observed” path of increasingly finer-sampled processes, see Ait-Sahalia and Jacod (2008b), Barndorff-Nielsen and Shephard (2004, 2006a), Huang and Tauchen (2005), Jiang and Oomen (2005), Lee and Mykland (2007), Mancini (2001).”
Tail risk premia and return predictability (2014, background): “17 The use of a time-varying cutoff kt for identifying the “large” jumps directly mirrors the use of a time-varying threshold linked to the diffusive volatility σt in the tests for jumps based on high-frequency intraday data pioneered by Mancini (2001). 18 In parallel to the expression for the varia”
The Realized Laplace Transform of Volatility (2011, unknown): “It also shows the empirical Laplace transform of the integrated variance, as estimated by the jump-robust truncated version of Mancini (2001), with the bipower variation (Barndorff-Nielsen and Shephard (2004)) used for the estimate of truncation; all details are provided in the Supplemental…”