Pages that link to "Item:Q1307078"

The following pages link to Asymptotic error distributions for the Euler method for stochastic differential equations (Q1307078):

Displaying 50 items.

• Realized volatility with stochastic sampling (Q981001) (← links)
• Testing for jumps in a discretely observed process (Q1002155) (← links)
• High frequency market microstructure noise estimates and liquidity measures (Q1018630) (← links)
• First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes (Q1019617) (← links)
• Asymptotic analysis of hedging errors in models with jumps (Q1019621) (← links)
• On asymptotic errors in discretization of processes (Q1394519) (← links)
• Numerical error for SDE: Asymptotic expansion and hyperdistributions (Q1408179) (← links)
• Financial options and statistical prediction intervals (Q1431433) (← links)
• Coupling importance sampling and multilevel Monte Carlo using sample average approximation (Q1657808) (← links)
• Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
• A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
• Testing for simultaneous jumps in case of asynchronous observations (Q1750093) (← links)
• On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
• The Euler scheme with irregular coefficients (Q1872290) (← links)
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems. (Q1878983) (← links)
• The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus (Q1897655) (← links)
• Applications of the characteristic function-based continuum GMM in finance (Q1927140) (← links)
• Convergence of some random functionals of discretized semimartingales (Q1932225) (← links)
• Irregular sampling and central limit theorems for power variations: the continuous case (Q1944677) (← links)
• Error distributions for random grid approximations of multidimensional stochastic integrals (Q1948705) (← links)
• Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients (Q1986026) (← links)
• Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
• Efficient estimation and filtering for multivariate jump-diffusions (Q2024483) (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
• Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion (Q2084843) (← links)
• A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
• Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination (Q2144199) (← links)
• Long versus short time scales: the rough dilemma and beyond (Q2145699) (← links)
• Central limit theorem for the antithetic multilevel Monte Carlo method (Q2170368) (← links)
• Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering (Q2174790) (← links)
• The term structure of equity and variance risk premia (Q2224879) (← links)
• Volatility regressions with fat tails (Q2227065) (← links)
• On the valuation of variance swaps with stochastic volatility (Q2250184) (← links)
• Central limit theorem for the multilevel Monte Carlo Euler method (Q2258530) (← links)
• Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922) (← links)
• Numerical simulations and modeling for stochastic biological systems with jumps (Q2299766) (← links)
• Asymptotic properties of the realized skewness and related statistics (Q2317879) (← links)
• The asymptotic error of chaos expansion approximations for stochastic differential equations (Q2326537) (← links)
• A decreasing step method for strongly oscillating stochastic models (Q2341638) (← links)
• Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
• Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (Q2355172) (← links)
• Discretization error of irregular sampling approximations of stochastic integrals (Q2362940) (← links)
• A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987) (← links)
• Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
• An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs (Q2389602) (← links)
• Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
• Estimation of the realized (co-)volatility vector: large deviations approach (Q2402430) (← links)
• Central limit theorem for the realized volatility based on tick time sampling (Q2430257) (← links)
• An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility (Q2447642) (← links)
• Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)