The following pages link to Discretization of processes. (Q640731):
Displaying 50 items.
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272) (← links)
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
- Inference theory for volatility functional dependencies (Q284294) (← links)
- A general HJM framework for multiple yield curve modelling (Q287657) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- Quarticity and other functionals of volatility: efficient estimation (Q366987) (← links)
- Nonparametric inference on Lévy measures and copulas (Q366990) (← links)
- Volatility occupation times (Q385768) (← links)
- Limit theorems for power variations of ambit fields driven by white noise (Q401465) (← links)
- Model verification for Lévy-driven Ornstein-Uhlenbeck processes (Q405320) (← links)
- Discrete time series, processes, and applications in finance. (Q444333) (← links)
- Realized Laplace transforms for pure-jump semimartingales (Q447866) (← links)
- Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730) (← links)
- Limit theorems for nondegenerate \(U\)-statistics of continuous semimartingales (Q473167) (← links)
- Time-varying jump tails (Q473227) (← links)
- Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions (Q476746) (← links)
- Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
- Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale (Q529427) (← links)
- Nonparametric implied Lévy densities (Q666590) (← links)
- Viscosity solutions of path-dependent integro-differential equations (Q737174) (← links)
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies (Q744376) (← links)
- A universal approach to estimate the conditional variance in semimartingale limit theorems (Q825055) (← links)
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Trading-flow assisted estimation of the jump activity index (Q829093) (← links)
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485) (← links)
- Variation-based tests for volatility misspecification (Q898596) (← links)
- Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes (Q1615907) (← links)
- Optimal discretization of stochastic integrals driven by general Brownian semimartingale (Q1621716) (← 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)
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model (Q1644436) (← links)
- Zooming in on a Lévy process at its supremum (Q1650094) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Mixed-scale jump regressions with bootstrap inference (Q1676389) (← links)
- Moment convergence in regularized estimation under multiple and mixed-rates asymptotics (Q1678536) (← links)
- Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
- On limit theory for Lévy semi-stationary processes (Q1708996) (← links)
- Maximum likelihood estimation for stochastic Lotka-Volterra model with jumps (Q1712202) (← links)
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale (Q1713462) (← links)
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process (Q1730944) (← links)
- Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) (← links)
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
- Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations (Q1743339) (← links)
