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A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - 2004

Consider a semimartingale of the form Y_{t}=Y_0+\int _0^{t}a_{s}ds+\int _0^{t}_{s-} dW_{s}, where a is a locally bounded predictable process and (the volatility) is an adapted right - continuous process with left limits and W is a Brownian motion. We define the realised bipower variation process...

Persistent link: https://www.econbiz.de/10014068278

Estimation Using the Martingale Assumption

Sipiere, Frederic - 2014

The martingale assumption is used to derive the conditional distribution of the underlying state of the stock, where … stock returns, and is not directly observable. The martingale characterization of returns reflects the 'rational expectation …

Persistent link: https://www.econbiz.de/10014140316

Nonparametric Estimation of Cumulative Incidence Functions for Competing Risks Data with Missing Cause of Failure

Effraimidis, Georgios; Dahl, Christian M. - 2013

In this paper, we develop a fully nonparametric approach for the estimation of the cumulative incidence function with Missing At Random right-censored competing risks data. We obtain results on the pointwise asymptotic normality as well as the uniform convergence rate of the proposed...

Persistent link: https://www.econbiz.de/10014150604

Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroskedasticity

McCurdy, Thomas H. - 2012

the particular way that the variance is changing over time. The martingale hypothesis is tested with daily and weekly … daily data from 1981 to 1985. This rejection of the martingale hypothesis may be attributed to trading day effects in … foreign currency prices and the resulting day-of-the-week patterns in futures prices. When the martingale hypothesis is tested …

Persistent link: https://www.econbiz.de/10013109926

Maximum Maximum of Martingales Given Marginals

Henry-Labordere, Pierre - 2013

We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset and statically trade European call options for all possible strikes and finitely-many maturities. We present a general duality result which converts this problem...

Persistent link: https://www.econbiz.de/10013091243

Understanding Limit Theorems for Semimartingales : A Short Survey

Podolskij, Mark - 2009

This paper presents a short survey on limit theorems for certain functionals of semimartingales, which are observed at high frequency. Our aim is to explain the main ideas of the theory to a broader audience. We introduce the concept of stable convergence, which is crucial for our purpose. We...

Persistent link: https://www.econbiz.de/10013155852

A Damped Diffusion Framework for Financial Modeling and Closed-Form Maximum Likelihood Estimation

Li, Minqiang - 2009

martingale pricing approach. Damping can be done on either the diffusion or drift function. Oftentimes, certain solutions to the … valuation PDE can be ruled out by requiring the solution to be a limit of martingale prices for damped diffusion models. Monte …

Persistent link: https://www.econbiz.de/10013155898

On the Martingale Representation Theorem and Approximate Hedging a Contingent Claim in the Minimum Mean Square Deviation Criterion

Huu, Nguyen Van - 2009

criterion. A theorem on martingale representation in the case of discrete time and an application of obtained result for semi …

Persistent link: https://www.econbiz.de/10013157546

A Damped Diffusion Framework for Financial Modeling and Closed-Form Maximum Likelihood Estimation

Li, Minqiang - 2010

Persistent link: https://www.econbiz.de/10013148117

Quadratic Hedging Schemes for Non-Gaussian GARCH Models

Badescu, Alex - 2014

Girsanov principle that generalizes Duan's (1995) delta hedge. Since the minimal martingale measure fails to produce a …

Persistent link: https://www.econbiz.de/10013065375