Self-normalized Cramér-type moderate deviations for explosive Vasicek model
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Cites work
- An equilibrium characterization of the term structure
- Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
- Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
- Berry-Esseen bounds for parameter estimation of general Gaussian processes
- Berry-Esseen bounds for the least squares estimator for discretely observed fractional Ornstein-Uhlenbeck processes
- Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
- Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
- Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
- Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
- Estimation and pricing under long-memory stochastic volatility
- Estimation of the realized (co-)volatility vector: large deviations approach
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- Large and moderate deviations for estimators of quadratic variational processes of diffusions.
- Large deviations for the Ornstein-Uhlenbeck process with shift
- Large deviations for the Ornstein-Uhlenbeck process without tears
- Large deviations in estimation of an Ornstein-Uhlenbeck model
- Large deviations of realized volatility
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
- Long memory in continuous-time stochastic volatility models
- Moderate deviations and nonparametric inference for monotone functions
- On a multivariate version of Bernstein's inequality
- Optimal rates for parameter estimation of stationary Gaussian processes
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
- Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
- Self-normalized Cramér type moderate deviations for martingales
- Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
- Sharp Large Deviations for the Ornstein--Uhlenbeck Process
- Some comments concerning a curious singularity
- Statistical inference for ergodic diffusion processes.
- The Malliavin Calculus and Related Topics
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