Large deviations of realized volatility
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Publication:665439
DOI10.1016/j.spa.2011.09.002zbMath1237.91238OpenAlexW3121342296MaRDI QIDQ665439
Publication date: 5 March 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2011.09.002
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Large deviations (60F10)
Related Items (5)
Estimation of the realized (co-)volatility vector: large deviations approach ⋮ Self-normalized Cramér-type moderate deviations for explosive Vasicek model ⋮ Large and moderate deviations of realized covolatility ⋮ 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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