Discretization of processes.
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Cited in
(only showing first 100 items - show all)- Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
- Optimal discretization of stochastic integrals driven by general Brownian semimartingale
- Effects of jumps and small noise in high-frequency financial econometrics
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- Zooming in on a Lévy process at its supremum
- Common price and volatility jumps in noisy high-frequency data
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Mixed-scale jump regressions with bootstrap inference
- Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
- Asymptotic inference about predictive accuracy using high frequency data
- On limit theory for Lévy semi-stationary processes
- Maximum likelihood estimation for stochastic Lotka-Volterra model with jumps
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
- Estimating the integrated volatility using high-frequency data with zero durations
- Statistical inference for the doubly stochastic self-exciting process
- Testing for simultaneous jumps in case of asynchronous observations
- Statistical estimation of the oscillating Brownian motion
- Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation
- Testing against constant factor loading matrix with large panel high-frequency data
- Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
- Regularity of multifractional moving average processes with random Hurst exponent
- Recovering Brownian and jump parts from high-frequency observations of a Lévy process
- Approximation of occupation time functionals
- Laws of large numbers for Hayashi-Yoshida-type functionals
- The self-financing equation in limit order book markets
- A Hausman test for the presence of market microstructure noise in high frequency data
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Optimal iterative threshold-kernel estimation of jump diffusion processes
- On estimation of quadratic variation for multivariate pure jump semimartingales
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Estimation for high-frequency data under parametric market microstructure noise
- Power variations for fractional type infinitely divisible random fields
- Volatility coupling
- A weak law of large numbers for realised covariation in a Hilbert space setting
- A weak solution theory for stochastic Volterra equations of convolution type
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- A CLT for second difference estimators with an application to volatility and intensity
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
- The LAN property for McKean-Vlasov models in a mean-field regime
- Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
- Occupation density estimation for noisy high-frequency data
- The drift burst hypothesis
- Variation and efficiency of high-frequency betas
- Optimal estimation of the supremum and occupation times of a self-similar Lévy process
- On the nonparametric inference of coefficients of self-exciting jump-diffusion
- Testing the eigenvalue structure of spot and integrated covariance
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Nonparametric jump variation measures from options
- Testing for the presence of jump components in jump diffusion models
- Optimal kernel estimation of spot volatility of stochastic differential equations
- Parametric inference for diffusions observed at stopping times
- Statistical inferences for price staleness
- Power variations for a class of Brown-Resnick processes
- Joint estimation for SDE driven by locally stable Lévy processes
- Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem
- High-frequency analysis of parabolic stochastic PDEs
- Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
- On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
- Uniform nonparametric inference for time series
- Convergence of extreme values of Poisson point processes at small times
- Moment bounds for dissipative semimartingales with heavy jumps
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- High-frequency asymptotics for path-dependent functionals of Itô semimartingales
- On limit theory for functionals of stationary increments Lévy driven moving averages
- Change-point inference on volatility in noisy Itô semimartingales
- Estimation of volatility in a high-frequency setting: a short review
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- Nonparametric spot volatility from options
- Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
- High-frequency factor models and regressions
- Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
- Volatility estimation for stochastic PDEs using high-frequency observations
- Asymptotic properties of the realized skewness and related statistics
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
- On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
- Simultaneous multivariate Hawkes-type point processes and their application to financial markets
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Second-order properties of thresholded realized power variations of FJA additive processes
- Estimating functions for SDE driven by stable Lévy processes
- Spot volatility estimation using delta sequences
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
- Discretization error of irregular sampling approximations of stochastic integrals
- Adaptive estimation of continuous-time regression models using high-frequency data
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- On \(U\)- and \(V\)-statistics for discontinuous Itô semimartingales
- Edgeworth expansion for the pre-averaging estimator
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
- A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities
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