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person:"Hobson, David G."
~person:"Platen, Eckhard"
~person:"Podolskij, Mark"
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Search: subject_exact:"Semimartingale"
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Hobson, David G.
Platen, Eckhard
Podolskij, Mark
Schweizer, Martin
25
Barndorff-Nielsen, Ole E.
23
Jacod, Jean
20
Li, Jia
16
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16
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ECONIS (ZBW)
42
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Sure profits via flash strategies and the impossibility of predictable jumps
Fontana, Claudio
;
Pelger, Markus
;
Platen, Eckhard
-
2017
Persistent link: https://www.econbiz.de/10011778192
Saved in:
2
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
3
On u- and v-statistics for discontinuous Itô semimartingales
Podolskij, Mark
;
Schmidt, Christian
;
Vetter, Mathias
-
2015
Persistent link: https://www.econbiz.de/10011398532
Saved in:
4
Limit theorems for stationary increments Lévy driven moving averages
Basse-O'Connor, Andreas
;
Lachièze-Rey, Raphaël
; …
-
2015
Persistent link: https://www.econbiz.de/10011398661
Saved in:
5
Robust bounds for the American put
Hobson, David G.
;
Norgilas, Dominykas
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 359-395
Persistent link: https://www.econbiz.de/10012023741
Saved in:
6
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Fissler, Tobias
;
Podolskij, Mark
-
2014
Persistent link: https://www.econbiz.de/10010442414
Saved in:
7
On Covariation Estimation for Multivariate Continuous Itô Semimartingales with Noise in Non-Synchronous Observation Schemes
Christensen, Kim
-
2014
This paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process are assumed to be observed at highly frequent nonsynchronous points. The estimator of the covariation matrix is...
Persistent link: https://www.econbiz.de/10013066163
Saved in:
8
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
- In:
Journal of banking & finance
87
(
2018
),
pp. 369-379
Persistent link: https://www.econbiz.de/10011962562
Saved in:
9
Limit theorems for non-degenerate u-statistics of continuous semimartingales
Podolskij, Mark
;
Schmidt, Christian
;
Fasciati Ziegel, …
-
2012
Persistent link: https://www.econbiz.de/10009627572
Saved in:
10
A test for the rank of the volatility process : the random perturbation approach
Jacod, Jean
;
Podolskij, Mark
-
2012
Persistent link: https://www.econbiz.de/10009785770
Saved in:
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