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Optimal estimation of the local time and the occupation time measure for an α-stable Lévy process.
- Published in:
- Modern Stochastics: Theory & Applications, 2024, v. 11, n. 2, p. 149, doi. 10.15559/24-VMSTA243
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- Article
Multidimensional parameter estimation of heavy‐tailed moving averages.
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- Scandinavian Journal of Statistics, 2022, v. 49, n. 2, p. 593, doi. 10.1111/sjos.12527
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- Publication type:
- Article
Editorial.
- Published in:
- Modern Stochastics: Theory & Applications, 2021, v. 8, n. 2, p. 139, doi. 10.15559/21-VMSTA183
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- Article
LOCAL ASYMPTOTIC SELF-SIMILARITY FOR HEAVY TAILED HARMONIZABLE FRACTIONAL LÉVY MOTIONS.
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- ESAIM: Probability & Statistics, 2021, v. 25, p. 286, doi. 10.1051/ps/2021011
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- Article
The asymptotic error of chaos expansion approximations for stochastic differential equations.
- Published in:
- Modern Stochastics: Theory & Applications, 2019, v. 6, n. 2, p. 145, doi. 10.15559/19-VMSTA133
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- Article
Comment on: Limit of Random Measures Associated with the Increments of a Brownian SemimartingaleAsymptotic behavior of local times related statistics for fractional Brownian motion.
- Published in:
- 2018
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- Publication type:
- Letter to the Editor
On the minimal number of driving Lévy motions in a multivariate price model.
- Published in:
- Journal of Applied Probability, 2018, v. 55, n. 3, p. 823, doi. 10.1017/jpr.2018.52
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- Publication type:
- Article
A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities.
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- Modern Stochastics: Theory & Applications, 2018, v. 5, n. 3, p. 297, doi. 10.15559/18-VMSTA111
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- Publication type:
- Article
Asymptotic Theory of Range-Based Multipower Variation.
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- Journal of Financial Econometrics, 2012, v. 10, n. 3, p. 417, doi. 10.1093/jjfinec/nbr019
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- Article
Testing the local volatility assumption: a statistical approach.
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- Annals of Finance, 2012, v. 8, n. 1, p. 31, doi. 10.1007/s10436-011-0180-z
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- Article
Understanding limit theorems for semimartingales: a short survey.
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- Statistica Neerlandica, 2010, v. 64, n. 3, p. 329, doi. 10.1111/j.1467-9574.2010.00460.x
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- Publication type:
- Article
Bias-correcting the realized range-based variance in the presence of market microstructure noise.
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- Finance & Stochastics, 2009, v. 13, n. 2, p. 239, doi. 10.1007/s00780-009-0089-9
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- Publication type:
- Article
BIPOWER VARIATION FOR GAUSSIAN PROCESSES WITH STATIONARY INCREMENTS.
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- Journal of Applied Probability, 2009, v. 46, n. 1, p. 132, doi. 10.1239/jap/1238592121
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- Publication type:
- Article
Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing.
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- Scandinavian Journal of Statistics, 2006, v. 33, n. 2, p. 259, doi. 10.1111/j.1467-9469.2006.00479.x
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- Publication type:
- Article