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Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
12 references·1 citing·33 second hop
Quasi likelihood analysis of volatility and nondegeneracy of statistical random field (2013)Quasi likelihood analysis of volatility a…Quasi-likelihood analysis for the stochastic differential equation with jumps (2011)Quasi-likelihood analysis for…Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes (2010)Approximate self-weighted LAD…Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations (2006)Estimation of Parameters for …Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions (2004)Estimation for Discretely Obs…Small-diffusion asymptotics for discretely sampled stochastic differential equations (2003)Small-diffusion asymptotics f…Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach (2001)Local Asymptotic Mixed Normal…Estimation of an Ergodic Diffusion from Discrete Observations (1997)Estimation of an Ergodic Diff…Estimation of the diffusion coefficient for diffusion processes: random sampling (1994)Estimation of the diffusion c…On the estimation of the diffusion coefficient for multi-dimensional diffusion processes (1993)On the estimation of the diff…Estimation for diffusion processes from discrete observation (1992)Estimation for diffusion proc…On estimating the diffusion coefficient (1987)On estimating the diffusion c…Asymptotic theory for non-linear least squares estimator for diffusion processes (1983)Asymptotic theory for non-lin…Parametric estimation for a parabolic linear SPDE model based on discrete observations (2020)Parametric estimation for a p…Estimation of the coefficients of a diffusion from discrete observations (1986)Financial options and statistical prediction intervals (2003)Nonparametric estimation for interacting particle systems: McKean–Vlasov models (2021)Stochastic Differential Equations and Diffusion Processes (1983)Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes (1993)Estimation for stochastic differential equations with a small diffusion coefficient (2008)Least squares estimator for discretely observed Ornstein–Uhlenbeck processes with small Lévy noises (2009)Estimating functions for diffusion-type processes (2012)Approximate discrete-time schemes for statistics of diffusion processes (1989)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations (2007)Limit Theorems for Stochastic Processes (1987)Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods (1997)Least squares estimator for Ornstein–Uhlenbeck processes driven by α -stable motions (2009)Estimation of Jump Tails (2011)The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Related Topics (2006)Hybrid multi-step estimators for stochastic differential equations based on sampled data (2014)Adaptive estimation of continuous-time regression models using high-frequency data (2017)Stochastic Differential Equations (1972)On continuous and discrete sampling for parameter estimation in diffusion type processes (1976)Estimating Functions for Discretely Observed Diffusions: A Review (1997)Stochastic Differential Equations (2006)Least squares estimators for discretely observed stochastic processes driven by small Lévy noises (2013)LIMITS OF EXPERIMENTS (1972)Non-parametric estimation of the diffusion coefficient by wavelets methods (1992)Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities (1998)Financial Modelling with Jump Processes (2003)Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model (2004)Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations (2012)Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (2013)Inference for Continuous Semimartingales Observed at High Frequency (2009)Diffusions with measurement errors. I. Local Asymptotic Normality (2001)
this work references cited by second hop

References

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  • 1992Estimation for diffusion processes from discrete observation263 cited
  • 1993On the estimation of the diffusion coefficient for multi-dimensional diffusion processes226 cited
  • 2006Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations138 cited
  • 1987On estimating the diffusion coefficient86 cited
  • 2001Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach84 cited
  • 2003Small-diffusion asymptotics for discretely sampled stochastic differential equations74 cited
  • 2011Quasi-likelihood analysis for the stochastic differential equation with jumps66 cited
  • 1983Asymptotic theory for non-linear least squares estimator for diffusion processes66 cited
  • 1994Estimation of the diffusion coefficient for diffusion processes: random sampling50 cited
  • 2004Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions45 cited
  • 2010Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes43 cited

Cited by

  • 2020Parametric estimation for a parabolic linear SPDE model based on discrete observations23 cited

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