Fourier transform methods for pathwise covariance estimation in the presence of jumps

Christa Cuchiero, Josef Teichmann

Publication: Scientific journal › Journal article › peer-review

Original language	English
Pages (from-to)	116 - 160
Journal	Stochastic Processes and their Applications
Volume	125
Issue number	1
DOIs	https://doi.org/10.1016/j.spa.2014.07.023
Publication status	Published - 2015

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title = "Fourier transform methods for pathwise covariance estimation in the presence of jumps",

author = "Christa Cuchiero and Josef Teichmann",

year = "2015",

doi = "10.1016/j.spa.2014.07.023",

language = "English",

volume = "125",

pages = "116 -- 160",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier",

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}

TY - JOUR

T1 - Fourier transform methods for pathwise covariance estimation in the presence of jumps

AU - Cuchiero, Christa

AU - Teichmann, Josef

PY - 2015

Y1 - 2015

UR - https://arxiv.org/abs/1301.3602

U2 - 10.1016/j.spa.2014.07.023

DO - 10.1016/j.spa.2014.07.023

M3 - Journal article

SN - 0304-4149

VL - 125

SP - 116

EP - 160

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 1

ER -