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Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data
16 references·0 citing·44 second hop
Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data (2019)Gaussian approximation of maxima of Wiene…The Drift Burst Hypothesis (2016)The Drift Burst HypothesisESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING (2015)ESTIMATION OF STOCHASTIC VOLA…High-Frequency Financial Econometrics (2014)High-Frequency Financial Econ…Estimation of the lead-lag parameter from non-synchronous data (2013)Estimation of the lead-lag pa…Multivariate normal approximation using Stein’s method and Malliavin calculus (2010)Multivariate normal approxima…Second order Poincaré inequalities and CLTs on Wiener space (2009)Second order Poincaré inequal…NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (2009)NONPARAMETRIC FILTERING OF TH…Stein’s method on Wiener chaos (2008)Stein’s method on Wiener chaosSpot volatility estimation for high-frequency data (2008)Spot volatility estimation fo…Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes (2007)Asymptotic normality of a cov…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications (2006)No-arbitrage semi-martingale …On covariance estimation of non-synchronously observed diffusion processes (2005)On covariance estimation of n…Central limit theorems for sequences of multiple stochastic integrals (2005)Central limit theorems for se…Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times (1982)Semi-martingale inequalities …DIFFUSION PROCESSES AND THEIR SAMPLE PATHS (1967)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Forward, backward and symmetric stochastic integration (1993)Mouvement brownien et espaces de besov (1993)The generalized covariation process and Ito formula (1995)Un Cours sur les Intégrales Stochastiques (2002)The Malliavin Calculus and Related Topics (1995)Stochastic Analysis (1997)Density Formula and Concentration Inequalities with Malliavin Calculus (2009)Stein’s method and Normal approximation of Poisson functionals (2010)Gaussian Limits for Vector-valued Multiple Stochastic Integrals (2004)Variations and estimators for the selfsimilarity order through Malliavin calculus (2007)Multi-Dimensional Gaussian Fluctuations on the Poisson Space (2010)Convergence in total variation on Wiener chaos (2012)Estimating betas from nonsynchronous data (1977)The Distribution of Realized Exchange Rate Volatility (2001)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Realized Volatility: A Review (2008)Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading (2010)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Testing for jumps in a discretely observed process (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Modeling financial contagion using mutually exciting jump processes (2015)Continuous Martingales and Brownian Motion (1999)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Functional data analysis for volatility (2011)The Estimation of Leverage Effect With High-Frequency Data (2013)Numerical solution of stochastic differential equations (2016)High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)On leverage in a stochastic volatility model (2004)Quasi-maximum likelihood estimation of volatility with high frequency data (2010)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Principal Component Analysis of High-Frequency Data (2017)Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)
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References

  • 2006The Malliavin Calculus and Related Topics2,548 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
  • 2005Central limit theorems for sequences of multiple stochastic integrals442 cited
  • 2008Stein’s method on Wiener chaos415 cited
  • 2005On covariance estimation of non-synchronously observed diffusion processes407 cited
  • 2014High-Frequency Financial Econometrics388 cited
  • 2006No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications301 cited
  • 1982Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times204 cited
  • 2009NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH175 cited
  • 2010Multivariate normal approximation using Stein’s method and Malliavin calculus133 cited
  • 2008Spot volatility estimation for high-frequency data90 cited
  • 2016The Drift Burst Hypothesis73 cited
  • 2009Second order Poincaré inequalities and CLTs on Wiener space67 cited
  • 2007Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes59 cited
  • 2013

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Estimation of the lead-lag parameter from non-synchronous data
58 cited
  • 2015ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING56 cited
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