Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
Work
Year: 2020
Type: article
Authors Chiara Amorino, Arnaud Gloter
Institutions Laboratoire de Mathématiques, Université d'Évry Val-d'Essonne, Centre National de la Recherche Scientifique, Université Paris-Saclay
Cites: 29
Cited by: 12
Related to: 10
FWCI: 1.306
Citation percentile (by year/subfield): 82.45
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze