11 citations · 20 across the 2 of their papers we have counts for
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math.PR2007★ 9 cited
Diffusion covariation and co-jumps in bidimensional asset price processes with stochastic volatility and infinite activity Levy jumps
Fabio Gobbi, Cecilia Mancini
In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given d…
math.PR2006★ 11 cited
Identifying the covariation between the diffusion parts and the co-jumps given discrete observations
Fabio Gobbi, Cecilia Mancini
In this paper we consider two semimartingales driven by diffusions and jumps. We allow both for finite activity and for infinite activity jump components. Given discrete observatio…