Nonparametric tests for pathwise properties of semimartingales (Q453304): Difference between revisions

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+.4429
@@ Property / arXiv ID: 1104.4429 / rank @@
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+Testing for jumps in a discretely observed process
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+Estimating the degree of activity of jumps in high frequency data
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+Testing whether jumps have finite or infinite activity
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+Some remarks on first passage of Lévy processes, the American put and pasting principles
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+Limit theorems for multipower variation in the presence of jumps
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+Financial Modelling with Jump Processes
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+Q3959169
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+The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
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+Asymptotic properties of realized power variations and related functionals of semimartingales
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+Estimating functions for diffusion-type processes
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+Asymptotic error distributions for the Euler method for stochastic differential equations
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+A Jump-Diffusion Model for Option Pricing
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+Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
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+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
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+Option pricing when underlying stock returns are discontinuous
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+Semimartingales: A course on stochastic processes
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+Activity signature functions for high-frequency data analysis
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+Analyzing the Fine Structure of Continuous Time Stochastic Processes
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+W2078077640
@@ Property / OpenAlex ID: W2078077640 / rank @@
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