3 papers
math.ST2026
Sequential monitoring for distributional changepoints using degenerate U-statistics
B. Cooper Boniece, Lajos Horváth, Lorenzo Trapani
We investigate the online detection of changepoints in the distribution of a sequence of observations using a class of degenerate \textit{U}-statistic-type processes. We consider a…
econ.EM2026
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…
math.ST2024
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…