The following pages link to Discretization of processes. (Q640731):
Displaying 50 items.
- LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS (Q2970316) (← links)
- ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION (Q2976209) (← links)
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707) (← links)
- Estimation of Volatility Functionals: The Case of a $$\sqrt{n}$$ Window (Q4560345) (← links)
- Volatility Targeting Using Delayed Diffusions (Q4562721) (← links)
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (Q4580032) (← links)
- Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data (Q4903032) (← links)
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS (Q4959130) (← links)
- Coupling Particle-Based Reaction-Diffusion Simulations with Reservoirs Mediated by Reaction-Diffusion PDEs (Q5022756) (← links)
- Ambit Fields: Survey and New Challenges (Q5038271) (← links)
- Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
- Estimating fast mean-reverting jumps in electricity market models (Q5140350) (← links)
- Time-Varying Periodicity in Intraday Volatility (Q5208074) (← links)
- Principal Component Analysis of High-Frequency Data (Q5229911) (← links)
- Bootstrapping High-Frequency Jump Tests (Q5231507) (← links)
- INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS (Q5243484) (← links)
- Asymmetric COGARCH processes (Q5245621) (← links)
- A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA (Q5378499) (← links)
- Modelling and Prediction of Financial Time Series (Q5419653) (← links)
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
- Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations (Q5742595) (← links)
- (Q5750467) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- (Q5879927) (← links)
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS (Q5880804) (← links)
- Near-optimal estimation of jump activity in semimartingales (Q5963516) (← links)
- Signature-Based Models: Theory and Calibration (Q6048449) (← links)
- The asymptotic expansion of the regular discretization error of Itô integrals (Q6054137) (← links)
- Uniform convergence rates for spot volatility estimation (Q6064073) (← links)
- Statistical inference in factor analysis for diffusion processes from discrete observations (Q6076572) (← links)
- Permutation‐based tests for discontinuities in event studies (Q6088790) (← links)
- Bootstrapping Laplace transforms of volatility (Q6088832) (← links)
- Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
- Volatility measurement with pockets of extreme return persistence (Q6090561) (← links)
- Uniform predictive inference for factor models with instrumental and idiosyncratic betas (Q6090585) (← links)
- Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs (Q6103215) (← links)
- Hellinger and total variation distance in approximating Lévy driven SDEs (Q6104024) (← links)
- Intraday cross-sectional distributions of systematic risk (Q6108306) (← links)
- Volatility of volatility and leverage effect from options (Q6118716) (← links)
- Testing the volatility jumps based on the high frequency data (Q6134625) (← links)
- A Leland model for delta hedging in central risk books (Q6146669) (← links)
- Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525) (← links)
- High-dimensional estimation of quadratic variation based on penalized realized variance (Q6166018) (← links)
- Drift burst test statistic in the presence of infinite variation jumps (Q6171672) (← links)
- On the estimation of the jump activity index in the case of random observation times (Q6176238) (← links)
- On the existence of weak solutions to stochastic Volterra equations (Q6177618) (← links)
- Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel (Q6180365) (← links)
- Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations (Q6185131) (← links)
- Optimal nonparametric range-based volatility estimation (Q6193007) (← links)
