Estimation of the instantaneous volatility (Q411549): Difference between revisions

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+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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+F05
@@ Property / Mathematics Subject Classification ID: 60F05 / rank @@
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+G48
@@ Property / Mathematics Subject Classification ID: 60G48 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
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+6022130
@@ Property / zbMATH DE Number: 6022130 / rank @@
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@@ Property / zbMATH Keywords @@
+central limit theorem
@@ Property / zbMATH Keywords: central limit theorem / rank @@
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@@ Property / zbMATH Keywords @@
+power variation
@@ Property / zbMATH Keywords: power variation / rank @@
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@@ Property / zbMATH Keywords @@
+semimartingales
@@ Property / zbMATH Keywords: semimartingales / rank @@
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@@ Property / arXiv ID: 0812.3538 / rank @@
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@@ Property / cites work @@
+Volatility estimators for discretely sampled Lévy processes
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@@ Property / cites work @@
+Testing for jumps in a discretely observed process
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@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Q5493536
@@ Property / cites work: Q5493536 / rank @@
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@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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@@ Property / cites work @@
+Martingale convergence to mixtures of infinitely divisible laws
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@@ Property / cites work @@
+A volatility-varying and jump-diffusion Merton type model of interest rate risk
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
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@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
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@@ Property / cites work @@
+Asymptotic properties of realized power variations and related functionals of semimartingales
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@@ Property / cites work @@
+Limit theorems for moving averages of discretized processes plus noise
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@@ Property / cites work @@
+La variation d'ordre p des semi-martingales
@@ Property / cites work: La variation d'ordre p des semi-martingales / rank @@
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@@ Property / cites work @@
+VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
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@@ Property / cites work @@
+Volatility Jumps
@@ Property / cites work: Volatility Jumps / rank @@
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@@ Property / cites work @@
+INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
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@@ Property / cites work @@
+Estimation of integrated volatility in stochastic volatility models
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@@ Property / cites work @@
+Q3511651
@@ Property / cites work: Q3511651 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:411549