scientific article; zbMATH DE number 936411

zbMATH Open0861.60085MaRDI QIDQ4896006FDOQ4896006

Authors: Jean Jacod 

Publication date: 12 May 1997

Title of this publication is not available (Why is that?)

Recommendations

• The quadratic variation of Brownian motion on a time scale
• The quadratic variation for mixed-fractional Brownian motion
• Quadratic variations of spherical fractional Brownian motions
• The average error of multivariate quadrature formulae on the Brownian sheet measure
• Estimation of quadratic variation for two-parameter diffusions
• On almost sure convergence of the quadratic variation of Brownian motion.
• Symmetrization in the geometric theory of functions of a complex variable
• Average error of optimal quadrature formulae on the integral Brownian bridge measure
• Brownian motion with quadratic killing and some implications
• Quadratic covariation estimates in non-smooth stochastic calculus

zbMATH Keywords

local timeround-off errorestimation of the Brownian variance

Mathematics Subject Classification ID

Brownian motion (60J65) General theory of stochastic processes (60G07)

Cited In (9)

• High frequency market microstructure noise estimates and liquidity measures
• Title not available (Why is that?)
• Central limit theorem for the realized volatility based on tick time sampling
• Ultra high frequency volatility estimation with dependent microstructure noise
• Microstructure noise in the continuous case: the pre-averaging approach
• IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
• The quadratic variation of Brownian motion on a time scale
• Disentangling Sources of High Frequency Market Microstructure Noise
• Are volatility estimators robust with respect to modeling assumptions?

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4896006)