5 citations · 5 across the 2 of their papers we have counts for
2 papers
stat.AP2013
Spot volatility estimation for high-frequency data: adaptive estimation in practice
Till Sabel, Johannes Schmidt-Hieber, Axel Munk
We develop further the spot volatility estimator introduced in Hoffmann, Munk and Schmidt-Hieber (2012) from a practical point of view and make it useful for the analysis of high-f…
math.ST2012★ 5 cited
Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
Till Sabel, Johannes Schmidt-Hieber
Mimicking the maximum likelihood estimator, we construct first order Cramer-Rao efficient and explicitly computable estimators for the scale parameter in the model $Z_{i,n}=σ…