Matches in SemOpenAlex for { <https://semopenalex.org/work/W2897858954> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W2897858954 abstract "We propose a non-parametric procedure for estimating the realized spot volatility of a price process described by an Ito semimartingale with Levy jumps. The procedure integrates the threshold jump elimination technique of Mancini (2009) with a frame (Gabor) expansion of the realized trajectory of spot volatility. We show that the procedure converges in probability in L2([0, T]) for a wide class of spot volatility processes, including those with discontinuous paths. Our analysis assumes the time interval between price observations tends to zero; as a result, the intended application is for the analysis of high frequency financial data." @default.
- W2897858954 created "2018-10-26" @default.
- W2897858954 creator A5007910225 @default.
- W2897858954 creator A5014248032 @default.
- W2897858954 date "2018-01-01" @default.
- W2897858954 modified "2023-09-27" @default.
- W2897858954 title "Global estimation of realized spot volatility in the presence of price jumps" @default.
- W2897858954 hasPublicationYear "2018" @default.
- W2897858954 type Work @default.
- W2897858954 sameAs 2897858954 @default.
- W2897858954 citedByCount "0" @default.
- W2897858954 crossrefType "posted-content" @default.
- W2897858954 hasAuthorship W2897858954A5007910225 @default.
- W2897858954 hasAuthorship W2897858954A5014248032 @default.
- W2897858954 hasConcept C105795698 @default.
- W2897858954 hasConcept C106159729 @default.
- W2897858954 hasConcept C106306483 @default.
- W2897858954 hasConcept C117251300 @default.
- W2897858954 hasConcept C121332964 @default.
- W2897858954 hasConcept C149782125 @default.
- W2897858954 hasConcept C162324750 @default.
- W2897858954 hasConcept C175223733 @default.
- W2897858954 hasConcept C2779664328 @default.
- W2897858954 hasConcept C2780695682 @default.
- W2897858954 hasConcept C28826006 @default.
- W2897858954 hasConcept C33923547 @default.
- W2897858954 hasConcept C39943821 @default.
- W2897858954 hasConcept C60092789 @default.
- W2897858954 hasConcept C62520636 @default.
- W2897858954 hasConcept C85393063 @default.
- W2897858954 hasConcept C88757350 @default.
- W2897858954 hasConcept C91602232 @default.
- W2897858954 hasConceptScore W2897858954C105795698 @default.
- W2897858954 hasConceptScore W2897858954C106159729 @default.
- W2897858954 hasConceptScore W2897858954C106306483 @default.
- W2897858954 hasConceptScore W2897858954C117251300 @default.
- W2897858954 hasConceptScore W2897858954C121332964 @default.
- W2897858954 hasConceptScore W2897858954C149782125 @default.
- W2897858954 hasConceptScore W2897858954C162324750 @default.
- W2897858954 hasConceptScore W2897858954C175223733 @default.
- W2897858954 hasConceptScore W2897858954C2779664328 @default.
- W2897858954 hasConceptScore W2897858954C2780695682 @default.
- W2897858954 hasConceptScore W2897858954C28826006 @default.
- W2897858954 hasConceptScore W2897858954C33923547 @default.
- W2897858954 hasConceptScore W2897858954C39943821 @default.
- W2897858954 hasConceptScore W2897858954C60092789 @default.
- W2897858954 hasConceptScore W2897858954C62520636 @default.
- W2897858954 hasConceptScore W2897858954C85393063 @default.
- W2897858954 hasConceptScore W2897858954C88757350 @default.
- W2897858954 hasConceptScore W2897858954C91602232 @default.
- W2897858954 hasLocation W28978589541 @default.
- W2897858954 hasOpenAccess W2897858954 @default.
- W2897858954 hasPrimaryLocation W28978589541 @default.
- W2897858954 hasRelatedWork W1483776464 @default.
- W2897858954 hasRelatedWork W1500828897 @default.
- W2897858954 hasRelatedWork W1616886721 @default.
- W2897858954 hasRelatedWork W1854900910 @default.
- W2897858954 hasRelatedWork W2047512245 @default.
- W2897858954 hasRelatedWork W2047849118 @default.
- W2897858954 hasRelatedWork W2052807037 @default.
- W2897858954 hasRelatedWork W2564830901 @default.
- W2897858954 hasRelatedWork W2602020286 @default.
- W2897858954 hasRelatedWork W2776026092 @default.
- W2897858954 hasRelatedWork W2902792423 @default.
- W2897858954 hasRelatedWork W2951577826 @default.
- W2897858954 hasRelatedWork W2969188265 @default.
- W2897858954 hasRelatedWork W3000527246 @default.
- W2897858954 hasRelatedWork W3122681030 @default.
- W2897858954 hasRelatedWork W3123747248 @default.
- W2897858954 hasRelatedWork W3123920268 @default.
- W2897858954 hasRelatedWork W3125076069 @default.
- W2897858954 hasRelatedWork W3125799900 @default.
- W2897858954 hasRelatedWork W3155290271 @default.
- W2897858954 isParatext "false" @default.
- W2897858954 isRetracted "false" @default.
- W2897858954 magId "2897858954" @default.
- W2897858954 workType "article" @default.