A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors

DOI10.2307/3318650zbMath0882.60017OpenAlexW2086828871MaRDI QIDQ1361122

Sylvain Delattre, Jean Jacod

Publication date: 2 March 1998

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1178291930

zbMATH Keywords

functional limit theoremsstochastic differential equationsround-off errors

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (31)

Trading information, price discreteness, and volatility estimation ⋮ An integrated cross-volatility estimation for asynchronous noisy data ⋮ Efficient estimation of integrated volatility incorporating trading information ⋮ Microstructure noise in the continuous case: the pre-averaging approach ⋮ Integrated volatility and round-off error ⋮ Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes ⋮ A Markov Chain Estimator of Multivariate Volatility from High Frequency Data ⋮ Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel ⋮ Estimation of Leverage Effect: Kernel Function and Efficiency ⋮ Central limit theorem for the realized volatility based on tick time sampling ⋮ The effect of round-off error on long memory processes ⋮ Unnamed Item ⋮ A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise ⋮ Moving Average-Based Estimators of Integrated Variance ⋮ Deviation of orderpfor estimators of the variance in first-order stochastic differential equation (SDE) ⋮ VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS ⋮ Are volatility estimators robust with respect to modeling assumptions? ⋮ A new microstructure noise index ⋮ On the statistical analysis of quantized Gaussian AR(1) processes ⋮ Bias-correcting the realized range-based variance in the presence of market microstructure noise ⋮ Parametric and nonparametric models and methods in financial econometrics ⋮ The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling ⋮ Estimating quadratic variation when quoted prices change by a constant increment ⋮ Estimating covariation: Epps effect, microstructure noise ⋮ Ultra high frequency volatility estimation with dependent microstructure noise ⋮ Edgeworth expansions for realized volatility and related estimators ⋮ High frequency market microstructure noise estimates and liquidity measures ⋮ A Non-Parametric Estimator of the Spectral Density of a Continuous-Time Gaussian Process Observed at Random Times ⋮ LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS ⋮ Distribution-free specification test for volatility function based on high-frequency data with microstructure noise ⋮ Asymptotic error distributions for the Euler method for stochastic differential equations

This page was built for publication: A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors