From tick data to semimartingales
DOI10.1214/20-AAP1571zbMath1476.62218OpenAlexW2766967452MaRDI QIDQ2240473
Jean Jacod, Yacine Aït-Sahalia
Publication date: 4 November 2021
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/annals-of-applied-probability/volume-30/issue-6/From-tick-data-to-semimartingales/10.1214/20-AAP1571.full
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Diffusion processes (60J60)
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