Estimation of a noisy subordinated Brownian motion via two-scales power variations (Q2408746): Difference between revisions

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Latest revision as of 13:03, 14 July 2024

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Estimation of a noisy subordinated Brownian motion via two-scales power variations
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    Estimation of a noisy subordinated Brownian motion via two-scales power variations (English)
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    13 October 2017
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    geometric Lévy models
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    kurtosis and volatility estimation
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    power variation estimators
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    microstructure noise
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    robust estimation methods
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    Itô process
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