Volatility estimation for stochastic PDEs using high-frequency observations
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Publication:2309597
DOI10.1016/j.spa.2019.09.002zbMath1462.60082arXiv1710.03519OpenAlexW2973106674WikidataQ114130801 ScholiaQ114130801MaRDI QIDQ2309597
Markus Bibinger, Mathias Trabs
Publication date: 1 April 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.03519
random fieldstochastic partial differential equationhigh-frequency datarealized volatilitymixing-type limit theorem
Random fields (60G60) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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Uses Software
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