Discretization of processes.
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Cited in
(only showing first 100 items - show all)- Asymptotic expansions for high-frequency option data
- Asymptotic behavior of a multilevel type error for SDEs driven by a pure jump Lévy process
- A universal approach to estimate the conditional variance in semimartingale limit theorems
- Detecting factors of quadratic variation in the presence of market microstructure noise
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
- Signature-Based Models: Theory and Calibration
- Bias reduction in spot volatility estimation from options
- Approximation of occupation time functionals
- Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
- Quadratic variation for the solution of the nonlinear stochastic wave equation
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Discretization error of irregular sampling approximations of stochastic integrals
- On the exact and -strong simulation of (jump) diffusions
- Testing the volatility jumps based on the high frequency data
- Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
- The LAN property for McKean-Vlasov models in a mean-field regime
- On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
- Nonparametric implied Lévy densities
- Edgeworth expansion for the pre-averaging estimator
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Annealed limit for a diffusive disordered mean-field model with random jumps
- Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
- Cross-sectional dependence in idiosyncratic volatility
- Rate-optimal estimation of mixed semimartingales
- Near-optimal estimation of jump activity in semimartingales
- A general HJM framework for multiple yield curve modelling
- Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
- Laws of large numbers for Hayashi-Yoshida-type functionals
- The self-financing equation in limit order book markets
- Ambit fields: survey and new challenges
- Moving average multifractional processes with random exponent: lower bounds for local oscillations
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- Estimation of volatility functionals: the case of a \(\sqrt{n}\) window
- Stochastic selection problem for a Stratonovich SDE with power non-linearity
- Realized Laplace transforms for pure-jump semimartingales
- Occupation density estimation for noisy high-frequency data
- The drift burst hypothesis
- Variation and efficiency of high-frequency betas
- On the estimation of the jump activity index in the case of random observation times
- Optimal estimation of the supremum and occupation times of a self-similar Lévy process
- Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale
- Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
- On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
- A Leland model for delta hedging in central risk books
- Realized regression with asynchronous and noisy high frequency and high dimensional data
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Inference theory for volatility functional dependencies
- Optimal discretization of stochastic integrals driven by general Brownian semimartingale
- On non-parametric estimation of the Lévy kernel of Markov processes
- Quarticity and other functionals of volatility: efficient estimation
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Estimating the integrated volatility using high-frequency data with zero durations
- Volatility occupation times
- Limit theorems for power variations of ambit fields driven by white noise
- Asymptotic properties of the realized skewness and related statistics
- Optimal kernel estimation of spot volatility of stochastic differential equations
- Time-varying periodicity in intraday volatility
- Asymptotic inference about predictive accuracy using high frequency data
- Volatility targeting using delayed diffusions
- Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
- High-frequency asymptotics for path-dependent functionals of Itô semimartingales
- Testing against constant factor loading matrix with large panel high-frequency data
- Effects of jumps and small noise in high-frequency financial econometrics
- An approximate maximum likelihood estimator of drift parameters in a multidimensional diffusion model
- Regularity of multifractional moving average processes with random Hurst exponent
- Estimating the volatility occupation time via regularized Laplace inversion
- Hellinger and total variation distance in approximating Lévy driven SDEs
- Moment bounds for dissipative semimartingales with heavy jumps
- Statistical inference for rough volatility: central limit theorems
- Statistical estimation of the oscillating Brownian motion
- Testing for simultaneous jumps in case of asynchronous observations
- Lost in contagion? Building a liquidation index from covariance dynamics
- An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
- Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
- Bootstrapping high-frequency jump tests
- A local Gaussian bootstrap method for realized volatility and realized beta
- Model verification for Lévy-driven Ornstein-Uhlenbeck processes
- High-frequency analysis of parabolic stochastic PDEs
- Nonparametric spot volatility from options
- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
- Volatility estimation for stochastic PDEs using high-frequency observations
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Discrete time series, processes, and applications in finance.
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Drift burst test statistic in the presence of infinite variation jumps
- Adaptive estimation of continuous-time regression models using high-frequency data
- Trading-flow assisted estimation of the jump activity index
- 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
- A test for the rank of the volatility process: the random perturbation approach
- Convergence of extreme values of Poisson point processes at small times
- On estimation of quadratic variation for multivariate pure jump semimartingales
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
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