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Parameter identification for fractional Ornstein-Uhlenbeck processes based on discrete observation
Zhang, Pu; Xiao, Wei-lin; Zhang, Xi-li; Niu, Pan-qiang - In: Economic modelling 36 (2014), pp. 198-203
Persistent link: https://www.econbiz.de/10010412366
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Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high requency return data
Lee, Kyungsub - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 19-36
Persistent link: https://www.econbiz.de/10011431109
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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
Podolskij, Mark; Rosenbaum, Mathieu - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 588-598
Persistent link: https://www.econbiz.de/10011987969
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Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods
Fičura, Milan; Witzany, Jiří - In: Finance a úvěr 66 (2016) 4, pp. 278-301
Persistent link: https://www.econbiz.de/10011532802
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Estimating the value-at-risk from high-frequency data
Krasnovský, Pavol - In: European financial and accounting journal : EFAJ 10 (2015) 2, pp. 5-11
Persistent link: https://www.econbiz.de/10011471021
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Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter
Woerner, Jeannette H. C. - 2003
Persistent link: https://www.econbiz.de/10009581651
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Estimation of integrated volatility in stochastic volatility models
Woerner, Jeannette H. C. - 2003
Persistent link: https://www.econbiz.de/10009581654
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Variational sums and power variation : a unifying approach to model selection and estimation in semimartingale models
Woerner, Jeannette H. C. - 2002
Persistent link: https://www.econbiz.de/10009581659
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An introduction to mathematical finance : options and other topics
Ross, Sheldon M. - 1999 - 1. publ.
Persistent link: https://www.econbiz.de/10001391962
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Exponential functionals of Brownian motion and related processes
Yor, Marc - 2001
Persistent link: https://www.econbiz.de/10001559455