11 citations · 28 across the 3 of their papers we have counts for
3 papers
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…
math.ST2006★ 8 cited
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…