Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps

Scandinavian Journal of Statistics

Volumn 36, Issue 2, 2009, Pages 270-296

  Mancini, Cecilia ^a  

^a UNIVERSITY OF FLORENCE   (Italy)

Author keywords

Asymptotic properties; Discrete observations; Integrated volatility; Models with stochastic volatility and jumps; Non parametric estimation; Threshold

Indexed keywords

EID: 67949112681     PISSN: 03036898     EISSN: 14679469     Source Type: Journal    
DOI: 10.1111/j.1467-9469.2008.00622.x     Document Type: Article

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