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Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale
Christensen, Kim; Podolski, Mark - 2005
We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale …
Persistent link: https://www.econbiz.de/10010296680
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A martingale representation for matching estimators
Abadie, Alberto; Imbens, Guido W. - 2009
been derived only for particular cases (Abadie and Imbens, 2006). This article establishes a martingale representation for … matching estimators. This representation allows the use of martingale limit theorems to derive the asymptotic distribution of …
Persistent link: https://www.econbiz.de/10010269062
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Approximation of the basic martingale : the counting process approach
Koning, Alex J. - 1991
Persistent link: https://www.econbiz.de/10000842070
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Martingale densities for general asset prices
Schweizer, Martin - 1991
Persistent link: https://www.econbiz.de/10000825147
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A central limit theorem for local martingales with applications to the analysis of longitudinal data
Murphy, Susan - 1994
Persistent link: https://www.econbiz.de/10000151652
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Optimal inference in dynamic models with conditional moment restrictions
Christensen, Bent Jesper (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003774664
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A martingale representation for matching estimators
Abadie, Alberto; Imbens, Guido - 2009
been derived only for particular cases (Abadie and Imbens, 2006). This article establishes a martingale representation for … matching estimators. This representation allows the use of martingale limit theorems to derive the asymptotic distribution of …
Persistent link: https://www.econbiz.de/10003826104
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Nonparametric estimation of state-price densities implicit in interest rate cap prices
Li, Haitao; Zhao, Feng - In: The review of financial studies 22 (2009) 11, pp. 4335-4376
Persistent link: https://www.econbiz.de/10003896303
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Specification tests for the distribution of errors in nonoarametric regression : a martingale approach
Mora, Juan; Pérez-Alonso, Alicia - 2008
Persistent link: https://www.econbiz.de/10003871481
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Estimating quadratic variation consistently in the presence of correlated measurement errors
Kalnina, Ilze (contributor); Linton, Oliver (contributor) - 2006
Persistent link: https://www.econbiz.de/10003375854