46 citations · 98 across the 13 of their papers we have counts for
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math.ST2019
Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise
Qi Wang, José E. Figueroa-López, Todd Kuffner
Volatility estimation based on high-frequency data is key to accurately measure and control the risk of financial assets. A Lévy process with infinite jump activity and microstruct…
math.ST2011★ 18 cited
Sieve-based confidence intervals and bands for Lévy densities
José E. Figueroa-López
The estimation of the Lévy density, the infinite-dimensional parameter controlling the jump dynamics of a Lévy process, is considered here under a discrete-sampling scheme. In this…
math.ST2006★ 46 cited
Risk bounds for the non-parametric estimation of Lévy processes
José E. Figueroa-López, Christian Houdré
Estimation methods for the Lévy density of a Lévy process are developed under mild qualitative assumptions. A classical model selection approach made up of two steps is studied. Th…