Jose E Figueroa Lopez
Washington University in St. Louis
H-index: 18
North America-United States
Top articles of Jose E Figueroa Lopez
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Data-Driven Fixed-Point Tuning for Truncated Realized Variations | arXiv preprint arXiv:2311.00905 | B Cooper Boniece José E Figueroa-López Yuchen Han | 2023/11/2 |
Efficient Volatility Estimation for L\'evy Processes with Jumps of Unbounded Variation | arXiv preprint arXiv:2202.00877 | B Cooper Boniece José E Figueroa-López Yuchen Han | 2022/2/2 |
Efficient Volatility Estimation for Lévy Processes with Jumps of Unbounded Variation | arXiv e-prints | B Cooper Boniece José E Figueroa-López Yuchen Han | 2022/2 |
Kernel estimation of spot volatility with microstructure noise using pre-averaging | Econometric Theory | José E Figueroa-López Bei Wu | 2022/10/18 |
Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations | arXiv preprint arXiv:2209.10128 | B Cooper Boniece José E Figueroa-López Yuchen Han | 2022/9/21 |
Editorial for special issue on advances in Actuarial Science and quantitative finance | Methodology and Computing in Applied Probability | Runhuan Feng José E Figueroa-López Junyi Guo Claude Lefèvre | 2022/6 |
Estimation of tempered stable Lévy models of infinite variation | Methodology and Computing in Applied Probability | José E Figueroa-López Ruoting Gong Yuchen Han | 2022/6 |
Market making with stochastic liquidity demand: Simultaneous order arrival and price change forecasts | arXiv preprint arXiv:2101.03086 | Agostino Capponi José E Figueroa-López Chuyi Yu | 2021/1/8 |
Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise | Qi Wang José E Figueroa-López Todd A Kuffner | 2021/1/1 | |
Optimal kernel estimation of spot volatility of stochastic differential equations | Stochastic Processes and their Applications | José E Figueroa-López Cheng Li | 2020/8/1 |
Supplement to “optimal kernel estimation of spot volatility of stochastic differential equations” | Available online on https://pages. wustl. edu/figueroa/publications | José E Figueroa-López Cheng Li | 2020 |
Optimal iterative threshold-kernel estimation of jump diffusion processes | Statistical Inference for Stochastic Processes | José E Figueroa-López Cheng Li Jeffrey Nisen | 2020/10 |
Co-Authors
