Optimum thresholding using mean and conditional mean squared error
نویسندگان
چکیده
منابع مشابه
Optimum thresholding using mean and conditional mean square error
We consider a univariate semimartingale model for (the logarithm of) an asset price, containing jumps having possibly infinite activity (IA). The nonparametric threshold estimator ˆ IV n of the integrated variance IV := ∫ T 0 σ sds proposed in [6] is constructed using observations on a discrete time grid, and precisely it sums up the squared increments of the process when they are under a thres...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2019
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2018.09.011