1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2023★ 1 cited
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
Ruijun Bu, Degui Li, Oliver Linton +1
In this paper, we consider estimating spot/instantaneous volatility matrices of high-frequency data collected for a large number of assets. We first combine classic nonparametric k…
econ.EM2020
Diffusion Copulas: Identification and Estimation
Ruijun Bu, Kaddour Hadri, Dennis Kristensen
We propose a new semiparametric approach for modelling nonlinear univariate diffusions, where the observed process is a nonparametric transformation of an underlying parametric dif…