Discretization of processes.
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This new book develops a theory of limit theorems for discretely observed Itô semimartingales with a view towards statistical applications. The results cover laws of large numbers and central limit theorems in various settings. Limits are taken on bounded fixed intervals in time with a growing number of observation points such that applications to high-frequency data would be the natural setting. The books starts with an introductory part that nicely motivates the topic and collects basic material on semimartingales and limit theorems. In the first chapter, the authors discuss a view simple examples in detail that give a flavor of the upcoming material. This introduction will be very helpful for readers to prepare for the more technical parts to follow. The second part is concerned with LLNs and CLTs for functionals of the increments of an Itô semimartingale. The CLTs are formulated in terms of stable convergence in law. The next two parts of the text extend the convergence results to various other settings such as randomly weighted sums or truncated functionals. In the last part, irregularly spaced discretization schemes and observations contaminated by noise are discussed in some detail, as well. This monograph by two leading experts in the field of stochastic processes will certainly become a standard reference when statistical questions in semimartingale models need to be investigated. The text is very well written and is without doubt a must have for scientists interested in applications of advanced stochastic process models.
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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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