Volume 11, February 2007Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
|Page(s)||173 - 196|
|Published online||19 June 2007|
- Y. Aït-Sahalia and J. Jacod, Volatility estimators for discretely sampled Lévy processes. To appear in Annals of Statistics (2005).
- 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).
- 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]
- 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.
- 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]
- A.N. Borodin and I.A. Ibragimov, Limit Theorems for Functionals of Random Walks. Proceedings Staklov Inst. Math. 195, A.M.S. (1995).
- J. Jacod and A. Shiryaev, Limit Theorems for Stochastic Processes. 2nd ed., Springer-Verlag, Berlin (2003).
- J. Jacod and P. Protter, Asymptotic error distributions for the Euler method for stochastic differential equations. Ann. Probab. 26 (1998) 267–307. [CrossRef] [MathSciNet]
- J. Jacod, The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Ann. Probab. 32 (2004) 1830–1972. [CrossRef] [MathSciNet]
- J. Jacod, A. Jakubowski and J. Mémin, On asymptotic error in discretization of processes. Ann. Probab. 31 (2003) 592–608. [CrossRef] [MathSciNet]
- D. Lépingle, La variation d'ordre p des semimartingales. Z. für Wahr. Th. 36 (1976) 285–316.
- C. Mancini, Disentangling the jumps of the diffusion in a geometric jumping Brownian motion. Giornale dell'Instituto Italiano degli Attuari LXIV (2001) 19–47.
- 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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