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~isPartOf:"Discussion paper / B"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"The journal of futures markets"
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Search: subject_exact:"Martingal"
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Schweizer, Martin
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Deutsche Forschungsgemeinschaft
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Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
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Discussion paper / B
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
The journal of futures markets
Finance and stochastics
92
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ECONIS (ZBW)
20
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1
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
2
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
Saved in:
3
Long-term risk : a martingale approach
Qin, Likuan
;
Linetsky, Vadim
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 299-312
Persistent link: https://www.econbiz.de/10011738495
Saved in:
4
Generalized method of integrated moments for high-frequency data
Li, Jia
;
Xiu, Dacheng
- In:
Econometrica : journal of the Econometric Society, an …
84
(
2016
)
4
,
pp. 1613-1633
Persistent link: https://www.econbiz.de/10011611168
Saved in:
5
Recursive formula for arithmetic Asian option prices
Lee, Kyungsub
- In:
The journal of futures markets
34
(
2014
)
3
,
pp. 220-234
Persistent link: https://www.econbiz.de/10010355436
Saved in:
6
Is the KOSPI 200 options market efficient? : parametric and nonparametric tests of the Martingale restriction
Guo, Biao
;
Han, Qian
;
Ryu, Doojin
- In:
The journal of futures markets
33
(
2013
)
7
,
pp. 629-652
Persistent link: https://www.econbiz.de/10009756544
Saved in:
7
Option pricing using the martingale approach with polynomial interpolation
Wang, Ming-chieh
;
Huang, Li-jhang
;
Liao, Szu-Lang
- In:
The journal of futures markets
33
(
2013
)
5
,
pp. 469-491
Persistent link: https://www.econbiz.de/10009726364
Saved in:
8
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
79
(
2011
)
6
,
pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
Saved in:
9
Inference for continuous semimartingales observed at high frequency
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
77
(
2009
)
5
,
pp. 1403-1445
Persistent link: https://www.econbiz.de/10003914908
Saved in:
10
Testing the martingale hypothesis for futures prices : implications for hedgers
De Ville de Goyet, Cédric
;
Dhaene, Geert
;
Sercu, Piet
- In:
The journal of futures markets
28
(
2008
)
11
,
pp. 1040-1065
Persistent link: https://www.econbiz.de/10003769967
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