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math.ST2023
Data-driven fixed-point tuning for truncated realized variations
B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Many methods for estimating integrated volatility and related functionals of semimartingales in the presence of jumps require specification of tuning parameters for their use in pr…
math.ST2016
Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations
José E. Figueroa-López, Cheng Li
Kernel Estimation is one of the most widely used estimation methods in non-parametric Statistics, having a wide-range of applications, including spot volatility estimation of stoch…