Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model

By Cecilia Mancini. 2004

99 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c3404d34a2bdb51d5e713b56528402760cff34aa

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Citations in the corpus

Realised quantile-based estimation of the integrated variance (2010, background): “One on jump-robust realised variance measures, most notably the influential bi-power variation of Barndorff-Nielsen and Shephard (2004) and the threshold estimators of Jacod (2008) and Mancini (2004a, 2006).”
Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2006, methodology): “As a consequence we provide a consistent estimate of IV=∫ T0 2t dt, extending previous results (Mancini, 2001, 2004) with very mild assumptions on a and and allowing for infinite jump activity.”
Fact or friction: jumps at ultra high frequency (2014, unknown): “…Shephard, and Winkel (2006) introduce the concept of (bi-) power variation—a simple but eﬀective technique to identify and measure the variation of jumps from intraday data [see A¨ıt-Sahalia and Jacod (2009b,a) and Mancini (2004, 2009) for a related jump-robust threshold estimator].”
Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (2013, methodology): “Earlier attempts to tackle this point have been made by Mancini [25], Shimizu and Yoshida [38], Ogihara and Yoshida [36], where they incorporated jump-detection filters in defining a contrast function.”
Risk, Jumps, and Diversification (2008, methodology): “…studies and new statistical procedures include the work of Ait-Sahalia and Jacod (2008), Andersen et al. (2007b), BarndorffNielsen and Shephard (2004), Fan and Wang (2006), Huang and Tauchen (2005), Jiang and Oomen (2006), Lee and Mykland (2008), and Mancini (2004). directly by these observations.”