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Semimartingales and Their Statistical Inference
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Semimartingales and Their Statistical Inference (2000)Semimartingales and Their Statistical Inf…Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions (2011)Explicit formulas for Laplace…A two-stage realized volatility approach to estimation of diffusion processes with discrete data (2008)A two-stage realized volatili…Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators (2006)Test for Parameter Change in …Parametric inference for discretely observed non-ergodic diffusions (2006)Parametric inference for disc…Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion (2003)Parametric estimation for lin…A strong law of large numbers for local martingales (1980)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Drift parameter estimation in fractional diffusions driven by perturbed random walks (2010)Parametric estimation for sub-fractional Ornstein–Uhlenbeck process (2012)Quadratic variations for the fractional-colored stochastic heat equation (2014)An equilibrium characterization of the term structure (1977)On estimating the expected return on the market (1980)A Theory of the Term Structure of Interest Rates (1985)Simulation-Based Estimation of Contingent-Claims Prices (2009)Volatility Puzzle: Long Memory or Antipersistency (2022)Brownian motion and stochastic calculus (1991)Limit Theorems for Stochastic Processes (2003)Brownian Motion and Stochastic Calculus (2007)Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index H ∈ (0, 12) (2015)Limit Theorems for Stochastic Processes (1987)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Limit theorems in change-point analysis (1997)Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes (2008)Estimation for the change point of volatility in a stochastic differential equation (2011)Monitoring parameter change in time series models (2011)
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  • 2003Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion54 cited
  • 2008A two-stage realized volatility approach to estimation of diffusion processes with discrete data41 cited
  • 2006Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators39 cited
  • 2006Parametric inference for discretely observed non-ergodic diffusions32 cited
  • 2011Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions27 cited

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