14 citations · 14 across the 1 of their papers we have counts for
2 papers
stat.ME2017
Estimating functions for jump-diffusions
Nina Munkholt Jakobsen, Michael Sørensen
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go…
stat.ME2015★ 14 cited
Efficient estimation for diffusions sampled at high frequency over a fixed time interval
Nina Munkholt Jakobsen, Michael Sørensen
Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with a…