Empirical Local Time for Processes Observed on a Grid.

WE consider a particular type of randomly observed continuous time process, in accordance with the characteristics of dataset coming from financial markets. We adapt the concept of Local Time by defining from the discrete observations an Empirical Local Time and we prove it converges under suitable assumptions to the Local Time of the continuous time process, when the set of discrete observations converges to the continuous time observation.

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Year of publication:	2000
Authors:	Darolles, S. ; Serot, I.
Subject:	TIME FACTOR \| LOCAL TIME \| DIFFUSION PROCESSES

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Type of publication:	Book / Working Paper
Notes:	24 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641028