Asymptotic equivalence for inference on the volatility from noisy observations

11 May 2011

Papers citing "Asymptotic equivalence for inference on the volatility from noisy observations"

15 / 15 papers shown

Title
Asymptotic Equivalence for Nonparametric Regression Ion Grama Michael Nussbaum 104 62 0 19 Dec 2024
Nonparametric Diffusivity Estimation for the Stochastic Heat Equation from Noisy Observations Gregor Pasemann Markus Reiß 19 1 0 01 Oct 2024
Probabilistic models and statistics for electronic financial markets in the digital age Markus Bibinger 22 0 0 11 Jun 2024
Optimal parameter estimation for linear SPDEs from multiple measurements R. Altmeyer Anton Tiepner Martin Wahl 19 9 0 04 Nov 2022
Inference for Volatility Functionals of Multivariate Itô Semimartingales Observed with Jump and Noise Richard Y. Chen 25 4 0 10 Oct 2018
Efficient estimation of stable Levy process with symmetric jumps A. Brouste Hiroki Masuda 6 17 0 23 May 2018
Volatility Decomposition and Estimation in Time-Changed Price Models R. Dahlhaus Sophon Tunyavetchakit 27 4 0 07 May 2016
Local Parametric Estimation in High Frequency Data Yoann Potiron P. Mykland 22 13 0 17 Mar 2016
On the asymptotic structure of Brownian motions with a small lead-lag effect Yuta Koike 22 4 0 14 Jan 2016
Volatility estimation under one-sided errors with applications to limit order books M. Bibinger M. Jirak M. Reiß 29 11 0 16 Aug 2014
Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise Yuta Koike 33 18 0 05 Aug 2014
Common price and volatility jumps in noisy high-frequency data M. Bibinger Lars Winkelmann 33 19 0 16 Jul 2014
Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise Ester Mariucci 43 5 0 02 May 2014
Estimating time-changes in noisy Lévy models Adam D. Bull 45 10 0 20 Dec 2013
Adaptive wavelet estimation of the diffusion coefficient under additive error measurements M. Hoffmann Axel Munk Johannes Schmidt-Hieber 87 21 0 27 Jul 2010