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ArticleMartingale expansion in mixed normal limit

Nakahiro Yoshida2012

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Articlebronze2012

Martingale expansion in mixed normal limit

Nakahiro Yoshida

22 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Probability and Statistical Research Financial Risk and Volatility Modeling

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References

2006The Malliavin Calculus and Related Topics 1997Estimation of an Ergodic Diffusion from Discrete Observations 2009Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 1992Estimation for diffusion processes from discrete observation 1993On the estimation of the diffusion coefficient for multi-dimensional diffusion processes 2006Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations 2006From Stochastic Calculus to Mathematical Finance

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Details

Year2012

Typearticle

Published2012-10-27

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2012.10.007

openalex_workW2032065332

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