scientific article; zbMATH DE number 1047469
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(74)- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Limit theorems in the Fourier transform method for the estimation of multivariate volatility
- LAMN property for hidden processes: the case of integrated diffusions
- Asymptotics for theLp-deviation of the variance estimator under diffusion
- Local Parametric Estimation in High Frequency Data
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Understanding limit theorems for semimartingales: a short survey
- Stability results for martingale representations: the general case
- Realized range-based estimation of integrated variance
- Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
- Order estimate of functionals related to fractional Brownian motion
- An approximate maximum likelihood estimator of drift parameters in a multidimensional diffusion model
- Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Misspecified diffusion models with high-frequency observations and an application to neural networks
- Statistical estimation of the oscillating Brownian motion
- Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
- Nonsynchronous covariation process and limit theorems
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes
- An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
- High-frequency analysis of parabolic stochastic PDEs
- Asymptotic expansion of the quadratic variation of fractional stochastic differential equation
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
- Volatility estimation for stochastic PDEs using high-frequency observations
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Realized volatility with stochastic sampling
- Local asymptotic mixed normality of transformed Gaussian models for random fields
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- Limit theorems for multivariate Brownian semistationary processes and feasible results
- On Sets of Laws of Continuous Martingales
- Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- Quasi-maximum likelihood estimation and penalized estimation under non-standard conditions
- Asymptotic error for the Milstein scheme for SDEs driven by continuous semimartingales
- Probabilistic models and statistics for electronic financial markets in the digital age
- Integrated volatility and round-off error
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Central limit theorem for the multilevel Monte Carlo Euler method
- A decreasing step method for strongly oscillating stochastic models
- Limit theorems for general functionals of Brownian local times
- Coupling importance sampling and multilevel Monte Carlo using sample average approximation
- Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
- Stable convergence in law in approximation of stochastic integrals with respect to diffusions
- Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
- Nonparametric estimation for high-frequency data incorporating trading information
- Statistical inference in factor analysis for diffusion processes from discrete observations
- Limit theorems for nondegenerate \(U\)-statistics of continuous semimartingales
- Estimation for the change point of volatility in a stochastic differential equation
- A note on the central limit theorem for bipower variation of general functions
- Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- Spot volatility estimation using delta sequences
- Estimating spot volatility with high-frequency financial data
- Estimation of correlation between latent processes
- Nonparametric filtering of conditional state-price densities
- High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process
- LAMN property for jump diffusion processes with discrete observations on a fixed time interval
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing
- Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
- Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- The SIML method without microstructure noise
- Confidence interval for correlation estimator between latent processes
- Estimation of the stochastic leverage effect using the Fourier transform method
- Conditional expansions and their applications.
- Central limit theorem for the antithetic multilevel Monte Carlo method
- Diffusions with measurement errors. II. Optimal estimators
- Extended convergence to continuous in probability processes with independent increments
- A CLT for second difference estimators with an application to volatility and intensity
- Optimal estimation of the local time and the occupation time measure for an \(\alpha\)-stable Lévy process
- Non-linear functionals of the Brownian bridge and some applications.
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