2 papers
math.ST2026
Robustified Gaussian quasi-BIC for volatility
Shoichi Eguchi, Hiroki Masuda
We develop a theoretical foundation for robust model comparison in a class of non-ergodic continuous volatility regression models contaminated by finite-activity jumps. Using the d…
math.ST2026
Robustified Gaussian quasi-likelihood inference for volatility
Shoichi Eguchi, Hiroki Masuda
We consider statistical inference for a class of continuous semimartingale regression models based on high-frequency observations subject to contamination by finite-activity jumps…