The following pages link to Discretization of processes. (Q640731):
Displaying 50 items.
- Moment bounds for dissipative semimartingales with heavy jumps (Q2238891) (← links)
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options (Q2239273) (← links)
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
- High-frequency asymptotics for path-dependent functionals of Itô semimartingales (Q2258821) (← 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)
- Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation (Q2294509) (← links)
- Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
- Nonparametric spot volatility from options (Q2299587) (← links)
- Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations (Q2301475) (← links)
- High-frequency factor models and regressions (Q2305976) (← links)
- Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion (Q2307406) (← links)
- Volatility estimation for stochastic PDEs using high-frequency observations (Q2309597) (← links)
- Asymptotic properties of the realized skewness and related statistics (Q2317879) (← links)
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
- On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process (Q2326069) (← links)
- Simultaneous multivariate Hawkes-type point processes and their application to financial markets (Q2329858) (← links)
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
- Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
- Estimating functions for SDE driven by stable Lévy processes (Q2337827) (← links)
- Spot volatility estimation using delta sequences (Q2339119) (← links)
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (Q2347453) (← links)
- Discretization error of irregular sampling approximations of stochastic integrals (Q2362940) (← links)
- Adaptive estimation of continuous-time regression models using high-frequency data (Q2398973) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- Edgeworth expansion for the pre-averaging estimator (Q2408996) (← links)
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise (Q2412765) (← links)
- A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities (Q2414851) (← 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)
- Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes (Q2447652) (← links)
- Power variation from second order differences for pure jump semimartingales (Q2447655) (← links)
- On non-parametric estimation of the Lévy kernel of Markov processes (Q2447727) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
- Efficient estimation of integrated volatility in presence of infinite variation jumps (Q2510826) (← links)
- A remark on the rates of convergence for integrated volatility estimation in the presence of jumps (Q2510829) (← links)
- Almost sure optimal hedging strategy (Q2511561) (← links)
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics (Q2515498) (← links)
- The observed asymptotic variance: hard edges, and a regression approach (Q2658793) (← links)
- Moving average multifractional processes with random exponent: lower bounds for local oscillations (Q2668496) (← links)
- Central limit theorems for discretized occupation time functionals (Q2680392) (← links)
- Identifying latent factors based on high-frequency data (Q2688663) (← links)
- Bias reduction in spot volatility estimation from options (Q2697974) (← links)
- Fire sales forensics: measuring endogenous risk (Q2831004) (← links)
- A Mathematical Theory of Financial Bubbles (Q2847835) (← links)
- Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools (Q2882686) (← links)
