Realized cumulants for martingales

DOI10.1214/21-ECP382zbMath1485.60047arXiv2010.08293MaRDI QIDQ2064805

Kazuki Matsushita, Masaaki Fukasawa

Publication date: 6 January 2022

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.08293

zbMATH Keywords

high-frequency data modellingmoments' extraction of martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (2)

Forests, cumulants, martingales ⋮ Unified signature cumulants and generalized Magnus expansions

Cites Work

• Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation
• The Distribution of Realized Exchange Rate Volatility
• THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
• Realized higher-order comoments
• Exponentiation of conditional expectations under stochastic volatility
• Stochastic Calculus and Applications
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