91 citations · 585 across the 27 of their papers we have counts for
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math.ST2012★ 52 cited
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
Jean Jacod, Markus Reiss
The optimal rate of convergence of estimators of the integrated volatility, for a discontinuous Itô semimartingale sampled at regularly spaced times and over a fixed time interval,…
math.ST2012
A Donsker Theorem for Lévy Measures
Richard Nickl, Markus Reiß
Given equidistant realisations of a Lévy process , a natural estimator for the distribution function of the Lévy measure is constructed. Under a…