Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Efficient estimation of integrated volatility incorporating trading information
Stationary distribution of stochastic population systems
Weak convergence for weighted empirical processes of dependent sequences
Stationarity and geometric ergodicity of BEKK multivariate GARCH models
LAMN property for hidden processes: the case of integrated diffusions
On asymptotic theory for multivariate GARCH models
Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions
Nonparametric adaptive estimation for integrated diffusions
On the central limit theorem for \(\rho\)-mixing sequences of random variables
Invariance principles for mixing sequences of random variables
Rosenthal type inequalities for \(B\)-valued strong mixing random fields and their applications
Estimating equations based on eigenfunctions for a discretely observed diffusion process
Stochastic delay Lotka--Volterra model
Nonlinear time series. Nonparametric and parametric methods
Maximal inequalities for partial sums of \(\rho\)-mixing sequences
Re-weighted functional estimation of second-order diffusion processes
Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
Nonlinearity and temporal dependence
Maximal moment inequality for partial sums of strong mixing sequences and application
Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient
NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS
Local Linear Estimation of Second-Order Diffusion Models
Convergence rates of the strong law for stationary mixing sequences
On Strong Mixing Conditions for Stationary Gaussian Processes
Parameter Estimation for a Discretely Observed Integrated Diffusion Process
Microstructure Noise, Realized Variance, and Optimal Sampling
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
Moment inequalities for mixing sequences of random variables
Conditions for linear processes to be strong-mixing
On the Strong Mixing Property for Linear Sequences
Moment bounds for stationary mixing sequences
Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Inference for Observations of Integrated Diffusion Processes
MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Maximal moment inequality for partial sums of ρ-mixing sequences and its applications
On The Spectrum Of Stationary Gaussian Sequences Satisfying the Strong Mixing Condition I. Necessary Conditions
Fully Nonparametric Estimation of Scalar Diffusion Models
On the Spectrum of Stationary Gaussian Sequences Satisfying the Strong Mixing Condition. II. Sufficient Conditions. Mixing Rate
Some Limit Theorems for Stationary Processes
Optimal covariance matrix estimation for high-dimensional noise in high-frequency data

This page was built for publication: Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process