2 papers
econ.EM2025
Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps
B. Cooper Boniece, José E. Figueroa-López, Tianwei Zhou
Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly t…
stat.ME2022
Simultaneous Inference of a Partially Linear Model in Time Series
Jiaqi Li, Likai Chen, Kun Ho Kim +1
We introduce a new methodology to conduct simultaneous inference of the nonparametric component in partially linear time series regression models where the nonparametric part is a…