Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151890 | Statistics & Probability Letters | 2014 | 8 Pages |
Abstract
In this note, we consider the large and moderate deviation principle of the estimators of the integrated covariance of two-dimensional diffusion processes when they are observed only at discrete times in a synchronous manner. The proof is extremely simple. It is essentially an application of the contraction principle for the results given in the case of the volatility by Djellout et al. (1999).
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hacène Djellout, Yacouba Samoura,