Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process
From MaRDI portal
Publication:6498642
Cites work
- scientific article; zbMATH DE number 5946386 (Why is no real title available?)
- scientific article; zbMATH DE number 4145034 (Why is no real title available?)
- scientific article; zbMATH DE number 1092808 (Why is no real title available?)
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 1542509 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions
- Conditions for linear processes to be strong-mixing
- Convergence rates of the strong law for stationary mixing sequences
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Efficient estimation of integrated volatility incorporating trading information
- Estimating equations based on eigenfunctions for a discretely observed diffusion process
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Inference for Observations of Integrated Diffusion Processes
- Invariance principles for mixing sequences of random variables
- LAMN property for hidden processes: the case of integrated diffusions
- Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
- Local linear estimation of second-order diffusion models
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Maximal inequalities for partial sums of \(\rho\)-mixing sequences
- Maximal moment inequality for partial sums of \(\rho\)-mixing sequences and its applications
- Maximal moment inequality for partial sums of strong mixing sequences and application
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Moment bounds for stationary mixing sequences
- Moment inequalities for mixing sequences of random variables
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Nonlinear time series. Nonparametric and parametric methods
- Nonlinearity and temporal dependence
- Nonparametric adaptive estimation for integrated diffusions
- Nonparametric estimation of second-order stochastic differential equations
- On Strong Mixing Conditions for Stationary Gaussian Processes
- On The Spectrum Of Stationary Gaussian Sequences Satisfying the Strong Mixing Condition I. Necessary Conditions
- On asymptotic theory for multivariate GARCH models
- On the Spectrum of Stationary Gaussian Sequences Satisfying the Strong Mixing Condition. II. Sufficient Conditions. Mixing Rate
- On the Strong Mixing Property for Linear Sequences
- On the central limit theorem for \(\rho\)-mixing sequences of random variables
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
- Parameter Estimation for a Discretely Observed Integrated Diffusion Process
- Re-weighted functional estimation of second-order diffusion processes
- Rosenthal type inequalities for \(B\)-valued strong mixing random fields and their applications
- Some Limit Theorems for Stationary Processes
- Stationarity and geometric ergodicity of BEKK multivariate GARCH models
- Stationary distribution of stochastic population systems
- Stochastic delay Lotka--Volterra model
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- Weak convergence for weighted empirical processes of dependent sequences
This page was built for publication: Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6498642)