63 citations · 209 across the 32 of their papers we have counts for
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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…
math.ST2021★ 1 cited
Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
Nakahiro Yoshida
The asymptotic decision theory by Le Cam and Hajek has been given a lucid perspective by the Ibragimov-Hasminskii theory on convergence of the likelihood random field. Their scheme…