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Fisher's Information for Discretely Sampled Lvy Processes

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290 cited

Cited by

2012Estimating functions for diffusion-type processes50 cited
2013Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency48 cited
2010MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES47 cited
2017Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance42 cited
2005Modeling Financial Security Returns Using Levy Processes36 cited
2011Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling35 cited
2018Local asymptotic normality property for fractional Gaussian noise under high-frequency observations34 cited
2010The speed of convergence of the Threshold estimator of integrated variance32 cited
2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price30 cited
2015Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Lévy processes26 cited
2011Realized Laplace transforms for estimation of jump diffusive volatility models24 cited
2009Joint Estimation of Discretely Observed Stable Lévy Processes with Symmetric Lévy Density24 cited
2011Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data23 cited
2014Parametric Estimation of Lévy Processes22 cited
2010Nonparametric estimation for a class of Lévy processes22 cited
2009Nonparametric inference of discretely sampled stable Lévy processes22 cited