Search Results - subject:"Asymptotic equivalence"

Noncooperative oligopoly in markets with a continuum of traders and a strongly connected set of commodities : a limit theorem

Busetto, Francesca; Codognato, Giulio; Ghosal, Sayantan; … - 2023

Persistent link: https://www.econbiz.de/10014338767

Asymptotics of polynomial time trend estimation and hypothesis testing under rank deficiency

Phillips, Peter C. B. - 2022

Persistent link: https://www.econbiz.de/10013326569

Local asymptotic equivalence of pure states ensembles and quantum Gaussian white noise

Butucea, Cristina; Guta, Madalin; Nussbaum, Michael - 2017

Persistent link: https://www.econbiz.de/10012198585

Regression discontinuity designs, white noise models, and minimax

Tuvaandorj, Purevdorj - In: Journal of econometrics 218 (2020) 2, pp. 587-608

Persistent link: https://www.econbiz.de/10012483172

Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2013

An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...

Persistent link: https://www.econbiz.de/10010318777

Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

Persistent link: https://www.econbiz.de/10010640724

Asymptotic equivalence between Cournot-Nash and Walras equilibria in exchange economies with atoms and an atomless part

Busetto, Francesca; Codognato, Giulio; Ghosal, Sayantan - In: International journal of game theory : official journal … 46 (2017) 4, pp. 975-990

Persistent link: https://www.econbiz.de/10011947317

Collective risk models with dependence uncertainty

Liu, Haiyan; Wang, Ruodu - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 361-389

Persistent link: https://www.econbiz.de/10011729564

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

estimation for time-varying volatilities stems from an asymptotic equivalence of the underlying statistical model to a white … noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

Persistent link: https://www.econbiz.de/10010281562

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

Persistent link: https://www.econbiz.de/10010587710