Embedding and asymptotic expansions for martingales

DOI10.1007/BF01246335zbMath0843.60049MaRDI QIDQ1902865

Per Aslak Mykland

Publication date: 13 August 1996

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01246335

zbMATH Keywords

conditional cumulants; asymptotic expansions for martingales; embedding general martingales in continuous ones

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

60G42: Martingales with discrete parameter

60G44: Martingales with continuous parameter

60F99: Limit theorems in probability theory

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The Estimation of Leverage Effect With High-Frequency Data, ANOVA for diffusions and Itō processes, Edgeworth expansions for realized volatility and related estimators, Cumulants and Bartlett Identities in Cox Regression

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