Pages that link to "Item:Q2476289"
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The following pages link to Asymptotic properties of realized power variations and related functionals of semimartingales (Q2476289):
Displaying 50 items.
- Power variation for Gaussian processes with stationary increments (Q1019612) (← links)
- Asymptotic analysis of hedging errors in models with jumps (Q1019621) (← links)
- On the asymptotic behaviour of functionals of some semimartingales (Q1202301) (← links)
- Realized power variation and stochastic volatility models (Q1395938) (← links)
- Effects of jumps and small noise in high-frequency financial econometrics (Q1627808) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
- On limit theory for Lévy semi-stationary processes (Q1708996) (← links)
- Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
- Optimum thresholding using mean and conditional mean squared error (Q1739640) (← links)
- Testing for simultaneous jumps in case of asynchronous observations (Q1750093) (← links)
- Convergence of some random functionals of discretized semimartingales (Q1932225) (← links)
- Model checks for the volatility under microstructure noise (Q1932237) (← links)
- Asymptotic and exact pricing of options on variance (Q1936829) (← links)
- Irregular sampling and central limit theorems for power variations: the continuous case (Q1944677) (← links)
- Testing the type of a semi-martingale: Itō against multifractal (Q1952101) (← links)
- On the discrete approximation of occupation time of diffusion processes (Q1952229) (← links)
- Recovering Brownian and jump parts from high-frequency observations of a Lévy process (Q1983615) (← links)
- Laws of large numbers for Hayashi-Yoshida-type functionals (Q1999591) (← links)
- Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467) (← links)
- Nonparametric estimation of jump diffusion models (Q2024442) (← links)
- On estimation of quadratic variation for multivariate pure jump semimartingales (Q2029771) (← links)
- Power variations for fractional type infinitely divisible random fields (Q2042821) (← links)
- A weak law of large numbers for realised covariation in a Hilbert space setting (Q2074990) (← links)
- Simplified stochastic calculus via semimartingale representations (Q2076652) (← links)
- Large deviation principles of realized Laplace transform of volatility (Q2116475) (← links)
- Statistical inferences for price staleness (Q2190239) (← links)
- Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes (Q2196535) (← links)
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise (Q2219235) (← links)
- Volatility regressions with fat tails (Q2227065) (← links)
- High-frequency asymptotics for path-dependent functionals of Itô semimartingales (Q2258821) (← links)
- Estimation of the characteristics of a Lévy process (Q2270272) (← links)
- Fair valuation of insurance liability cash-flow streams in continuous time: theory (Q2273988) (← links)
- On limit theory for functionals of stationary increments Lévy driven moving averages (Q2274198) (← links)
- Change-point inference on volatility in noisy Itô semimartingales (Q2280017) (← links)
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation (Q2294509) (← links)
- Asymptotic properties of the realized skewness and related statistics (Q2317879) (← links)
- Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (Q2355172) (← links)
- Truncated realized covariance when prices have infinite variation jumps (Q2359710) (← links)
- Testing for common arrivals of jumps for discretely observed multidimensional processes (Q2388981) (← links)
- Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process (Q2419676) (← links)
- A test for the rank of the volatility process: the random perturbation approach (Q2438757) (← links)
- An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility (Q2447642) (← links)
- Asymptotic theory for Brownian semi-stationary processes with application to turbulence (Q2447644) (← links)
- Optimally thresholded realized power variations for Lévy jump diffusion models (Q2447648) (← links)
