ANOVA for diffusions and Itô processes
暂无分享,去创建一个
[1] K. E. Dambis,et al. On the Decomposition of Continuous Submartingales , 1965 .
[2] L. Dubins,et al. ON CONTINUOUS MARTINGALES. , 1965, Proceedings of the National Academy of Sciences of the United States of America.
[3] Oldrich A. Vasicek. An equilibrium characterization of the term structure , 1977 .
[4] David Aldous,et al. On Mixing and Stability of Limit Theorems , 1978 .
[5] B. Efron,et al. Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information , 1978 .
[6] David M. Kreps,et al. Martingales and arbitrage in multiperiod securities markets , 1979 .
[7] J. Harrison,et al. Martingales and stochastic integrals in the theory of continuous trading , 1981 .
[8] D. Sondermann. Hedging of non-redundant contingent claims , 1985 .
[9] A. Shiryaev,et al. Limit Theorems for Stochastic Processes , 1987 .
[10] P. Protter. Stochastic integration and differential equations , 1990 .
[11] Risk-Minimality and Orthogonality of Martingales , 1990 .
[12] D. Duffie. Dynamic Asset Pricing Theory , 1992 .
[13] P. Bickel. Efficient and Adaptive Estimation for Semiparametric Models , 1993 .
[14] Asymptotic Expansions for Martingales , 1993 .
[15] D. Florens-zmirou. On estimating the diffusion coefficient from discrete observations , 1993, Journal of Applied Probability.
[16] J. Jacod,et al. Estimation of the diffusion coefficient for diffusion processes: random sampling , 1994 .
[17] Dean P. Foster,et al. Continuous Record Asymptotics for Rolling Sample Variance Estimators , 1994 .
[18] P. Mykland. Embedding and asymptotic expansions for martingales , 1995 .
[19] Walter Schachermayer,et al. The Existence of Absolutely Continuous Local Martingale Measures (1995) , 1995 .
[20] Walter Schachermayer,et al. The no-arbitrage property under a change of numéraire , 1995 .
[21] N. Shephard,et al. Likelihood INference for Discretely Observed Non-linear Diffusions , 2001 .
[22] P. Protter,et al. Asymptotic error distributions for the Euler method for stochastic differential equations , 1998 .
[23] M. Hofmann. Lp estimation of the diffusion coefficient , 1999 .
[24] Thierry Jeantheau,et al. Parameter estimation for discretely observed stochastic volatility models , 1999 .
[25] C. LareÂdo,et al. Stochastic volatility models as hidden Markov models and statistical applications , 2000 .
[26] Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient , 2000 .
[27] Non‐parametric Kernel Estimation of the Coefficient of a Diffusion , 2000 .
[28] N. Shephard,et al. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics , 2001 .
[29] Lan Zhang,et al. From martingales to ANOVA : implied and realized volatility , 2001 .
[30] Martin Jacobsen. Discretely Observed Diffusions: Classes of Estimating Functions and Small Δ‐optimality , 2001 .
[31] H. Sørensen. Discretely Observed Diffusions: Approximation of the Continuous‐time Score Function , 2001 .
[32] N. Shephard,et al. Econometric analysis of realized volatility and its use in estimating stochastic volatility models , 2002 .
[33] M. Hoffmann. Rate of convergence for parametric estimation in a stochastic volatility model , 2002 .
[34] J. Hull. Options, futures & other derivatives , 2003 .
[35] Jianqing Fan. Rejoinder: A selective overview of nonparametric methods in financial econometrics , 2004, math/0411034.
[36] T. Alderweireld,et al. A Theory for the Term Structure of Interest Rates , 2004, cond-mat/0405293.
[37] Lan Zhang. Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach , 2004, math/0411397.
[38] Zhou Zhou,et al. “A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High-Frequency Data” , 2005 .
[39] Xiongzhi Chen. Brownian Motion and Stochastic Calculus , 2008 .