Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (Q2355172): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4349243 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3286690 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Central limit theorems for realized volatility under hitting times of an irregular grid / rank
 
Normal rank
Property / cites work
 
Property / cites work: On covariance estimation of non-synchronously observed diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonsynchronous covariation process and limit theorems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Irregular sampling and central limit theorems for power variations: the continuous case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic properties of realized power variations and related functionals of semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating functions for diffusion-type processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theorems for moving averages of discretized processes plus noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic error distributions for the Euler method for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4913195 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference for Continuous Semimartingales Observed at High Frequency / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Tale of Two Time Scales / rank
 
Normal rank

Latest revision as of 13:39, 10 July 2024

scientific article
Language Label Description Also known as
English
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
scientific article

    Statements

    Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (English)
    0 references
    0 references
    0 references
    21 July 2015
    0 references
    asynchronous observations
    0 references
    co-jumps
    0 references
    statistics of semimartingales
    0 references
    quadratic covariation
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references