2 citations · 2 across the 8 of their papers we have counts for
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Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps
B. Cooper Boniece, José E. Figueroa-López, Tianwei Zhou
Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly t…
Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators
José E. Figueroa-López, Jincheng Pang, Bei Wu
For a multidimensional Itô semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator b…
Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations
B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than two decades. One of the most well-known and widel…
Efficient Volatility Estimation for Lévy Processes with Jumps of Unbounded Variation
B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely s…