98 citations · 126 across the 6 of their papers we have counts for
6 papers
Jump detection in financial asset prices that exhibit U-shape volatility
Cecilia Mancini
We describe a Matlab routine that allows us to estimate the jumps in financial asset prices using the Threshold (or Truncation) method of Mancini (2009). The routine is designed fo…
Optimum thresholding using mean and conditional mean square error
José E. Figueroa-López, Cecilia Mancini
We consider a univariate semimartingale model for (the logarithm of) an asset price, containing jumps having possibly infinite activity (IA). The nonparametric threshold estimator…
Nonparametric tests for pathwise properties of semimartingales
Rama Cont, Cecilia Mancini
We propose two nonparametric tests for investigating the pathwise properties of a signal modeled as the sum of a Lévy process and a Brownian semimartingale. Using a nonparametric t…
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…
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…
Non parametric threshold estimation for models with stochastic diffusion coefficients and jumps
Cecilia Mancini
We consider a stochastic process driven by a diffusion and jumps. We devise a technique, which is based on a discrete record of observations, for identifying the times when jumps l…