Estimation of the realized (co-)volatility vector: large deviations approach
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Publication:2402430
DOI10.1016/j.spa.2017.01.006zbMath1372.60030OpenAlexW2581012544MaRDI QIDQ2402430
Hacène Djellout, Yacouba Samoura, Arnaud Guillin
Publication date: 7 September 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2017.01.006
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Nonparametric estimation (62G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Central limit theorem and moderate deviations for a perturbed stochastic Cahn–Hilliard equation ⋮ Self-normalized Cramér-type moderate deviations for explosive Vasicek model ⋮ Large deviations of time-averaged statistics for Gaussian processes ⋮ Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps ⋮ Large deviation principles of realized Laplace transform of volatility
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