Comment on: limit of random measures associated with the increments of a Brownian Semimartingale : asymptotic behavior of local times related statistics for fractional Brownian motion
Mark Podolskij and Mathieu Rosenbaum
| Year of publication: |
2018
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|---|---|
| Authors: | Podolskij, Mark ; Rosenbaum, Mathieu |
| Other Persons: | Jacod, Jean (contributor) |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 16.2018, 4, p. 588-598
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| Subject: | fractional Brownian motion | functional limit theorems | local times | quadratic variation | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbx036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011987969