scientific article; zbMATH DE number 1069630

MaRDI QIDQ4356594zbMATH OpenFDO

Authors Renzo G. Avesani, Pierre R. Bertrand

Publication date 21 September 2000

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(3)

• Nonparametric volatility density estimation
• Increased correlation among asset classes: are volatility or jumps to blame, or both?
• Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps

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