7 citations · 13 across the 14 of their papers we have counts for
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math.ST2016
Discretization of Self-Exciting Peaks Over Threshold Models
Daisuke Kurisu
In this paper, a framework on a discrete observation of (marked) point processes under the high-frequency observation is developed. Based on this framework, we first clarify the re…
math.ST2016
Power variations and testing for co-jumps: the small noise approach
Daisuke Kurisu
In this paper we study the effects of noise on the bipower variation (BPV), realized volatility (RV) and testing for co-jumps in high-frequency data under the small noise framework…