A Gaussian calculus for inference from high frequency data

DOI10.1007/s10436-010-0152-8zbMath1298.91196OpenAlexW2136867267MaRDI QIDQ470517

Per Aslak Mykland

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-010-0152-8

zbMATH Keywords

continuityconsistencycumulantsefficiencycontiguitylikelihood inferencehigh frequency datastable convergencerealized volatilitydiscrete observationItō processasynchronous observation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Applications of stochastic analysis (to PDEs, etc.) (60H30) Analysis of variance and covariance (ANOVA) (62J10)

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Uses Software

• alr3

Cites Work

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