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Inference for Continuous Semimartingales Observed at High Frequency: A General Approach · Study

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PreprintInference for Continuous Semimartingales Observed at High Frequency: A General Approach

Per A. Mykland2007

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Preprintgreen2007

Inference for Continuous Semimartingales Observed at High Frequency: A General Approach

Per A. Mykland · Lan Zhang

24 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007Brownian Motion and Stochastic Calculus 1976The arbitrage theory of capital asset pricing 2016Numerical solution of stochastic differential equations 1985CHAPMAN AND HALL 2003Modeling and Forecasting Realized Volatility 1979Martingales and arbitrage in multiperiod securities markets 1993Dynamic Asset Pricing Theory.

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2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient pricearticle · 31 shared references 2009Inference for Continuous Semimartingales Observed at High Frequencyarticle · 29 shared references 2017Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variancearticle · 29 shared references 2012The econometrics of high-frequency datachapter · 28 shared references 2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometricspreprint · 21 shared references 2010A Gaussian calculus for inference from high frequency dataarticle · 21 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1030851

openalex_workW1574787006

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