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

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+G10
@@ Property / Mathematics Subject Classification ID: 62G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+F05
@@ Property / Mathematics Subject Classification ID: 60F05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
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@@ Property / Mathematics Subject Classification ID: 60G17 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G44
@@ Property / Mathematics Subject Classification ID: 60G44 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G51
@@ Property / Mathematics Subject Classification ID: 60G51 / rank @@
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@@ Property / zbMATH DE Number @@
+6083992
@@ Property / zbMATH DE Number: 6083992 / rank @@
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@@ Property / zbMATH Keywords @@
+high frequency data
@@ Property / zbMATH Keywords: high frequency data / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump processes
@@ Property / zbMATH Keywords: jump processes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+nonparametric tests
@@ Property / zbMATH Keywords: nonparametric tests / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+quadratic variation
@@ Property / zbMATH Keywords: quadratic variation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+realized volatility
@@ Property / zbMATH Keywords: realized volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+semimartingale
@@ Property / zbMATH Keywords: semimartingale / rank @@
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+.4429
@@ Property / arXiv ID: 1104.4429 / rank @@
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@@ Property / cites work @@
+Testing for jumps in a discretely observed process
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@@ Property / cites work @@
+Estimating the degree of activity of jumps in high frequency data
+Normal rank
@@ Property / cites work @@
+Testing whether jumps have finite or infinite activity
+Normal rank
@@ Property / cites work @@
+Some remarks on first passage of Lévy processes, the American put and pasting principles
+Normal rank
@@ Property / cites work @@
+Limit theorems for multipower variation in the presence of jumps
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3959169
@@ Property / cites work: Q3959169 / rank @@
+Normal rank
@@ Property / cites work @@
+The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of realized power variations and related functionals of semimartingales
+Normal rank
@@ Property / cites work @@
+Estimating functions for diffusion-type processes
@@ Property / cites work: Estimating functions for diffusion-type processes / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic error distributions for the Euler method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q2771102
@@ Property / cites work: Q2771102 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Semimartingales: A course on stochastic processes
@@ Property / cites work: Semimartingales: A course on stochastic processes / rank @@
+Normal rank
@@ Property / cites work @@
+Activity signature functions for high-frequency data analysis
+Normal rank
@@ Property / cites work @@
+Analyzing the Fine Structure of Continuous Time Stochastic Processes
+Normal rank
@@ Property / OpenAlex ID @@
+W2078077640
@@ Property / OpenAlex ID: W2078077640 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:453304