Pure-jump semimartingales

被引：0
|
作者：
Černý, Aleš [1 ]
Ruf, Johannes [2 ]
机构：
[1] Business School (formerly Cass), City, University of London
[2] Department of Mathematics, London School of Economics and Political Science
来源：
arXiv | 2019年
关键词：
Compendex;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Calculations - Continuous time systems - Markov processes - Stochastic systems
引用
收藏
相关论文
共 50 条
  • [1] Pure-jump semimartingales
    Cerny, Ales
    Ruf, Johannes
    BERNOULLI, 2021, 27 (04) : 2624 - 2648
  • [2] REALIZED LAPLACE TRANSFORMS FOR PURE-JUMP SEMIMARTINGALES
    Todorov, Viktor
    Tauchen, George
    ANNALS OF STATISTICS, 2012, 40 (02): : 1233 - 1262
  • [3] JUMP ACTIVITY ESTIMATION FOR PURE-JUMP SEMIMARTINGALES VIA SELF-NORMALIZED STATISTICS
    Todorov, Viktor
    ANNALS OF STATISTICS, 2015, 43 (04): : 1831 - 1864
  • [4] A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
    Hounyo, Ulrich
    Varneskov, Rasmus T.
    JOURNAL OF ECONOMETRICS, 2017, 198 (01) : 10 - 28
  • [5] INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS
    Andersen, Torben G.
    Fusari, Nicola
    Todorov, Viktor
    Varneskov, Rasmus T.
    ECONOMETRIC THEORY, 2019, 35 (05) : 901 - 942
  • [6] Simple examples of pure-jump strict local martingales
    Keller-Ressel, Martin
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2015, 125 (11) : 4142 - 4153
  • [7] Ergodicity for population dynamics by pure-jump noise with switching
    Zhang, Zhenzhong
    Chen, Wenze
    Yang, Hanlu
    Tong, Jinying
    Zhao, Xin
    NONLINEAR ANALYSIS-HYBRID SYSTEMS, 2024, 54
  • [8] TESTING FOR TIME-VARYING JUMP ACTIVITY FOR PURE JUMP SEMIMARTINGALES
    Todorov, Viktor
    ANNALS OF STATISTICS, 2017, 45 (03): : 1284 - 1311
  • [9] On estimation of quadratic variation for multivariate pure jump semimartingales
    Heiny, Johannes
    Podolskij, Mark
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2021, 138 : 234 - 254
  • [10] Brownian motion vs. pure-jump processes for individual stocks
    Sevi, Benoit
    Baena, Cesar
    ECONOMICS BULLETIN, 2011, 31 (04): : 3138 - 3152
12345