310 citations · 565 across the 13 of their papers we have counts for
Showing 2026Show all
2 papers · 1 filter
math.ST2026
Jump regression revisited
Mathias Vetter, Fan Yu
Regression analysis for stochastic processes has been an important topic over the last decades. Typically, regressing a dependent process on an explanatory results in an in…
econ.EM2026★ 76 cited
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
Kim Christensen, Mark Podolskij, Mathias Vetter
This paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process a…