3 citations · 3 across the 1 of their papers we have counts for
2 papers
math.ST2021★ 3 cited
Global jump filters and realized volatility
Haruhiko Inatsugu, Nakahiro Yoshida
For a semimartingale with jumps, we propose a new estimation method for integrated volatility, i.e., the quadratic variation of the continuous martingale part, based on the global…
stat.ME2018
Global jump filters and quasi-likelihood analysis for volatility
Haruhiko Inatsugu, Nakahiro Yoshida
We propose a new estimation scheme for estimation of the volatility parameters of a semimartingale with jumps based on a jump-detection filter. Our filter uses all of data to analy…