SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Optimum thresholding using mean and conditional mean squared error · Study

ArticleShelves

ArticleOptimum thresholding using mean and conditional mean squared error

José Enrique Figueroa-lópez2018

OA

Articlebronze2018

Optimum thresholding using mean and conditional mean squared error

José Enrique Figueroa-lópez · Cecilia Mancini

35 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 35 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 2003Financial Modelling with Jump Processes 1998Brownian Motion and Stochastic Calculus 1998The Variance Gamma Process and Option Pricing 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

Cited by

2021Volatility GARCH models with the ordered weighted average (OWA) operators 2023Intraday Periodic Volatility Curves

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2014Fact or friction: Jumps at ultra high frequencyarticle · 10 shared references 2008Nonparametric Stochastic Volatilitypreprint · 10 shared references 2012Asymptotic Theory of Range-Based Multipower Variationarticle · 10 shared references 2013A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITYarticle · 10 shared references 2010Realised quantile-based estimation of the integrated variancearticle · 9 shared references 2011Fact or Friction: Jumps at Ultra High Frequencypreprint · 9 shared references

Details

Year2018

Typearticle

Published2018-10-05

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.jeconom.2018.09.011

openalex_workW2964283435

Links

Imported from OpenAlex (CC0) — nothing here is generated.