Large deviation estimate of transition densities for jump processes
Yasushi Ishikawa (1997)
Annales de l'I.H.P. Probabilités et statistiques
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Yasushi Ishikawa (1997)
Annales de l'I.H.P. Probabilités et statistiques
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Sanjar Aspandiiarov, Roudolf Iasnogorodski (1999)
Annales de l'I.H.P. Probabilités et statistiques
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Wojciech Szatzschneider (1978)
Studia Mathematica
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Takaki Hayashi, Jean Jacod, Nakahiro Yoshida (2011)
Annales de l'I.H.P. Probabilités et statistiques
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In the context of high frequency data, one often has to deal with observations occurring at irregularly spaced times, at transaction times for example in finance. Here we examine how the estimation of the squared or other powers of the volatility is affected by irregularly spaced data. The emphasis is on the kind of assumptions on the sampling scheme which allow to provide consistent estimators, together with an associated central limit theorem, and especially when the sampling scheme...
Riccardo Adami, Gianfausto Dell'Antonio, Rodolfo Figari, Alessandro Teta (2003)
Annales de l'I.H.P. Analyse non linéaire
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Y. Ogura, M. Tomisaki, M. Tsuchiya (2002)
Annales de l'I.H.P. Probabilités et statistiques
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