Volatility estimation for stochastic PDEs using high-frequency observations

10 October 2017

Papers citing "Volatility estimation for stochastic PDEs using high-frequency observations"

15 / 15 papers shown

Title
Estimation for the damping factor of the driving process of an SPDE in two space dimensions Yozo Tonaki Yusuke Kaino Masayuki Uchida 27 2 0 01 Jul 2024
Optimal parameter estimation for linear SPDEs from multiple measurements R. Altmeyer Anton Tiepner Martin Wahl 19 9 0 04 Nov 2022
Parametric estimation of stochastic differential equations via online gradient descent Shogo H. Nakakita 31 3 0 17 Oct 2022
Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities M. Bibinger Patrick Bossert 17 6 0 01 Jul 2022
Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise Yozo Tonaki Yusuke Kaino Masayuki Uchida 23 7 0 21 Jun 2022
Estimation for the reaction term in semi-linear SPDEs under small diffusivity Sascha Gaudlitz M. Reiß 16 18 0 20 Mar 2022
Parameter estimation for linear parabolic SPDEs in two space dimensions based on high frequency data Yozo Tonaki Yusuke Kaino Masayuki Uchida 37 15 0 22 Jan 2022
Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise Igor Cialenco Hyun-Jung Kim 12 12 0 19 Mar 2020
Parameter estimation for SPDEs based on discrete observations in time and space F. Hildebrandt Mathias Trabs 22 40 0 02 Oct 2019
High-frequency analysis of parabolic stochastic PDEs with multiplicative noise: Part I Carsten H. Chong 16 12 0 12 Aug 2019
High-frequency analysis of parabolic stochastic PDEs Carsten H. Chong 24 52 0 18 Jun 2018
Bayesian Estimations for Diagonalizable Bilinear SPDEs Ziteng Cheng Igor Cialenco Ruoting Gong 19 9 0 29 May 2018
A note on parameter estimation for discretely sampled SPDEs Igor Cialenco Yicong Huang 26 60 0 04 Oct 2017
Trajectory Fitting Estimators for SPDEs Driven by Additive Noise Igor Cialenco Ruoting Gong Yicong Huang 31 16 0 17 Jul 2016
Quarticity and other functionals of volatility: Efficient estimation J. Jacod M. Rosenbaum 58 123 0 16 Jul 2012