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  • Search: subject:"diffusion process with jumps"
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Year of publication
Subject
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diffusion process with jumps 3 asymptotic normality 2 discrete observation 2 parametric inference 2 Asymptotic normality 1 Bayes type analysis 1 Bubbles 1 Diffusion process with jumps 1 Discrete observation 1 Girsanov theorem 1 Large deviation inequality 1 M-estimation 1 Martingal 1 Martingale 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Parametric inference 1 Probability theory 1 Quasi-maximum likelihood analysis 1 Spekulationsblase 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 Wahrscheinlichkeitsrechnung 1 asymptotic efficiency 1 contrast function 1 deflators 1 exponential martingale 1 infinitely many jumps 1 local optional martingales 1 làdlàg semimartingales 1 partial efficiency 1 regime shifts 1 unusual conditions 1
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Undetermined 3 CC license 1 Free 1
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Article 4
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Article in journal 1 Aufsatz in Zeitschrift 1
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Undetermined 3 English 1
Author
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Shimizu, Yasutaka 2 Abdelghani, Mohamed 1 Melnikov, Alexander 1 Ogihara, T. 1 Yoshida, N. 1 Yoshida, Nakahiro 1
Published in...
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Statistical Inference for Stochastic Processes 3
Source
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RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
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Modeling financial bubbles with optional semimartingales in nonstandard probability spaces
Abdelghani, Mohamed; Melnikov, Alexander - 2025
Deviation of an asset price from its fundamental value, commonly referred to as a price bubble, is a well-known phenomenon in financial markets. Mathematically, a bubble arises when the deflated price process transitions from a martingale to a strict local martingale. This paper explores price...
Persistent link: https://www.econbiz.de/10015358908
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Quasi-likelihood analysis for the stochastic differential equation with jumps
Ogihara, T.; Yoshida, N. - In: Statistical Inference for Stochastic Processes 14 (2011) 3, pp. 189-229
Persistent link: https://www.econbiz.de/10009325263
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M-Estimation for Discretely Observed Ergodic Diffusion Processes with Infinitely Many Jumps
Shimizu, Yasutaka - In: Statistical Inference for Stochastic Processes 9 (2006) 2, pp. 179-225
Persistent link: https://www.econbiz.de/10005391495
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Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations
Shimizu, Yasutaka; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 9 (2006) 3, pp. 227-277
Persistent link: https://www.econbiz.de/10005615999
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