Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
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Publication:1750086
DOI10.3150/17-BEJ962zbMath1415.62064arXiv1412.8173MaRDI QIDQ1750086
Publication date: 18 May 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.8173
asymptotic efficiencylocal asymptotic normalitydiffusion processesmarket microstructure noiseparametric estimationnonsynchronous observationsBayes-type estimationmaximum-likelihood-type estimation
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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