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Estimating time-changes in noisy Lévy models - MaRDI portal

Estimating time-changes in noisy Lévy models (Q480983)

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scientific article
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Estimating time-changes in noisy Lévy models
scientific article

    Statements

    title
    Estimating time-changes in noisy Lévy models (English)
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    author
    Adam D. Bull
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    publication date
    12 December 2014
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    zbMATH Keywords
    Itō semimartingale
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    Lévy process
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    microstructure noise
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    volatility
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    time-change
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    Identifiers

    DOI
    10.1214/14-AOS1250
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    Mathematics Subject Classification ID
    62P20
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    62G08
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    62G20
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    62G35
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    zbMATH DE Number
    6379694
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    arXiv ID
    1312.5911
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