SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Non-parametric adaptive estimation of the drift for a jump diffusion process
5 references·0 citing·29 second hopsampled
Non-parametric adaptive estimation of the drift for a jump diffusion process (2013)Non-parametric adaptive estimation of the…Efficient maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck processes (2014)Efficient maximum likelihood …Threshold estimation of Markov models with jumps and interest rate modeling (2010)Threshold estimation of Marko…Malliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps (2006)Malliavin calculus on the Wie…Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations (2006)Estimation of Parameters for …Nonparametric estimation of scalar diffusions based on low frequency data (2004)Nonparametric estimation of s…Stochastic Differential Equations and Diffusion Processes (1983)Financial Modelling with Jump Processes (2003)Stochastic Integration and Differential Equations (2005)Stochastic multifactor modeling of spot electricity prices (2013)Spot volatility estimation using delta sequences (2015)Optimum thresholding using mean and conditional mean squared error (2018)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)LAN property for an ergodic diffusion with jumps (2016)A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns (2019)Optimal trading strategies for Lévy-driven Ornstein–Uhlenbeck processes (2019)Limit Theorems for Stochastic Processes (1987)Estimation of an Ergodic Diffusion from Discrete Observations (1997)Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods (1997)Least squares estimator for Ornstein–Uhlenbeck processes driven by α -stable motions (2009)Estimation of Jump Tails (2011)Quasi-likelihood analysis for the stochastic differential equation with jumps (2011)The Malliavin Calculus and Related Topics (1995)Stochastic Flows and Stochastic Differential Equations (1998)The Malliavin Calculus and Related Topics (2006)Absolute continuity for some one-dimensional processes (2008)Credit Risk Models with Incomplete Information (2009)Absolute continuity for some one-dimensional processes (2010)Nonparametric Pricing of Interest Rate Derivative Securities (1995)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Efficient estimation of conditional variance functions in stochastic regression (1998)NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS (2007)Semi-nonparametric estimation and misspecification testing of diffusion models (2011)De-risking strategy: Longevity spread buy-in (2018)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2006Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations138 cited
  • 2004Nonparametric estimation of scalar diffusions based on low frequency data102 cited
  • 2006Malliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps90 cited
  • 2010Threshold estimation of Markov models with jumps and interest rate modeling67 cited
  • 2014Efficient maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck processes43 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work