Free Access
Issue
ESAIM: PS
Volume 11, February 2007
Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
Page(s) 173 - 196
DOI https://doi.org/10.1051/ps:2007013
Published online 19 June 2007
  1. Y. Aït-Sahalia and J. Jacod, Volatility estimators for discretely sampled Lévy processes. To appear in Annals of Statistics (2005).
  2. T.G. Andersen, T. Bollerslev and F.X. Diebold, Parametric and nonparametric measurement of volatility, in Handbook of Financial Econometrics, Y. Aït-Sahalia and L.P. Hansen Eds., Amsterdam: North Holland. Forthcoming (2005).
  3. O.E. Barndorff-Nielsen and N. Shephard, Realised power variation and stochastic volatility. Bernoulli 9 (2003) 243–265. Correction published in pages 1109–1111. [CrossRef] [MathSciNet]
  4. O.E. Barndorff-Nielsen, S.E. Graversen, J. Jacod, M. Podolskij and N. Shephard, A central limit theorem for realised bipower variations of continuous semimartingales, in From Stochastic calculus to mathematical finance, the Shiryaev Festschrift, Y. Kabanov, R. Liptser, J. Stoyanov Eds., Springer-Verlag, Berlin (2006) 33–69.
  5. O.E. Barndorff-Nielsen, N. Shephard and M. Winkel, Limit theorems for multipower variation in the presence of jumps. Stoch. Processes Appl. 116 (2006) 796–806. [CrossRef]
  6. A.N. Borodin and I.A. Ibragimov, Limit Theorems for Functionals of Random Walks. Proceedings Staklov Inst. Math. 195, A.M.S. (1995).
  7. J. Jacod and A. Shiryaev, Limit Theorems for Stochastic Processes. 2nd ed., Springer-Verlag, Berlin (2003).
  8. J. Jacod and P. Protter, Asymptotic error distributions for the Euler method for stochastic differential equations. Ann. Probab. 26 (1998) 267–307. [CrossRef] [MathSciNet]
  9. J. Jacod, The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Ann. Probab. 32 (2004) 1830–1972. [CrossRef] [MathSciNet]
  10. J. Jacod, A. Jakubowski and J. Mémin, On asymptotic error in discretization of processes. Ann. Probab. 31 (2003) 592–608. [CrossRef] [MathSciNet]
  11. D. Lépingle, La variation d'ordre p des semimartingales. Z. für Wahr. Th. 36 (1976) 285–316.
  12. C. Mancini, Disentangling the jumps of the diffusion in a geometric jumping Brownian motion. Giornale dell'Instituto Italiano degli Attuari LXIV (2001) 19–47.
  13. J. Woerner, Power and multipower variation: inference for high frequency data, in Stochastic Finance, A.N. Shiryaev, M. do Rosário Grosshino, P. Oliviera, M. Esquivel Eds., Springer-Verlag, Berlin (2006) 343–354.

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