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Asymptotic inference for semimartingale models with singular parameter points
11 references·0 citing·38 second hop
Asymptotic inference for semimartingale models with singular parameter points (1994)Asymptotic inference for semimartingale m…Likelihood Methods for Diffusions with Jumps (2020)Likelihood Methods for Diffus…Local asymptotic mixed normality for semimartingale experiments (1992)Local asymptotic mixed normal…Theory of Martingales (1989)Theory of MartingalesConvergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod (1989)Convergence en loi des suites…Multiple regression with integrated time series (1988)Multiple regression with inte…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …Some comments concerning a curious singularity (1979)Some comments concerning a cu…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Maximum likelihood estimation for continuous-time stochastic processes (1976)Maximum likelihood estimation…A stochastic integral in storage theory (1971)A stochastic integral in stor…A theory of dams with continuous input and a general release rule (1969)A theory of dams with continu…Cointegration and Tests of Present Value Models (1987)Permanent and Transitory Components in Macroeconomic Fluctuations (1987)Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations (1988)Chapter 45 Estimation and inference for dependent processes (1994)Time-Series-Based Econometrics (1996)Limit Theorems for Stochastic Processes (1987)Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes (2009)Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions (2011)Parametric Estimation of Lévy Processes (2014)Calcul d'ito sans probabilites (1981)Likelihood inference for a nonstationary fractional autoregressive model (2010)Limit theorems for nearly unstable Hawkes processes (2015)The microstructural foundations of leverage effect and rough volatility (2018)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a unit root in panels with dynamic factors (2004)The local power of some unit root tests for panel data (2004)Efficient tests of stock return predictability☆ (2006)A storage model with continuous infinitely divisible inputs (1963)Dams in series with continuous release (1967)On dams with continuous semi-Markovian inputs (1971)A decomposition theorem for supermartingales (1962)On Square Integrable Martingales (1967)Minimum contrast estimation in diffusion processes (1979)Estimation for queues from queue length data (2007)ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (2018)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)The Recurrence Classification of Risk and Storage Processes (1978)Continuous feedback fluid queues (2005)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Mixed Fractional Brownian Motion (2001)Arbitrage in fractional Brownian motion models (2003)On quasi likelihood for semimartingales (1990)Least squares estimators for stochastic differential equations driven by small Lévy noises (2016)Valuation of defer and relocation options in photovoltaic generation investments by a stochastic simulation-based method (2019)
this work references cited by second hop

References

  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1989Theory of Martingales956 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 1989Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod192 cited
  • 1976Maximum likelihood estimation for continuous-time stochastic processes136 cited
  • 1988Multiple regression with integrated time series104 cited
  • 1971A stochastic integral in storage theory67 cited
  • 2020Likelihood Methods for Diffusions with Jumps43 cited
  • 1992Local asymptotic mixed normality for semimartingale experiments40 cited
  • 1969A theory of dams with continuous input and a general release rule38 cited
  • 1979Some comments concerning a curious singularity32 cited

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