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math.ST2021★ 3 cited
Semiparametric estimation of McKean-Vlasov SDEs
Denis Belomestny, Vytautė Pilipauskaitė, Mark Podolskij
In this paper we study the problem of semiparametric estimation for a class of McKean-Vlasov stochastic differential equations. Our aim is to estimate the drift coefficient of a MV…
econ.EM2021★ 5 cited
High-dimensional estimation of quadratic variation based on penalized realized variance
Kim Christensen, Mikkel Slot Nielsen, Mark Podolskij
In this paper, we develop a penalized realized variance (PRV) estimator of the quadratic variation (QV) of a high-dimensional continuous Itô semimartingale. We adapt the principle…