most citedIdentifying the covariation between the diffusion parts and the co-jumps given discrete observations

11 citations · 28 across the 3 of their papers we have counts for

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math.ST2011★ 98 cited

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…

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…