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Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
asynchronous observations co-jumps statistics of semimartingales quadratic covariation
2013/6/14
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results b...
Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
adaptive estimation asymptotic equivalence asynchronous ob-servations integrated covolatility matrix quadratic covariation semiparametric eciency,microstructure noise spectral estimation
2013/4/28
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high...
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Density estimation Kullback–Leibler divergence
2011/7/6
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model.
Generalized covariation for Banach valued processes and Itô formula
Covariation and Quadratic variation Calculus via regularization
2011/1/20
This paper concerns the notion of quadratic variation and covariation for Banach valued processes and related Itô formula. If X and Y take respectively values in Banach spaces B1 and B2 (denoted...
Applications of the quadratic covariation differentiation theory: variants of the Clark-Ocone and Stroock's formulas
the quadratic covariation differentiation theory the Clark-Ocone and Stroock's formulas
2010/11/11
In a 2006 article (\cite{A1}), Allouba gave his quadratic covariation differentiation theory for It\^o's integral calculus. He defined the derivative of a semimartingale with respect to a Brownian mo...
Diffusion covariation and co-jumps in bidimensional asset price processes with stochastic volatility and infinite activity Levy jumps
co-jumps diffusion correlation coefficient stable Levy jumps threshold estimator
2010/4/29
In this paper we consider two processes driven by diffusions and jumps. The jump components
are L´evy processes and they can both have finite activity and infinite activity. Given discrete obse...