Keywords: تنوع درجه دوم; primary; 60H05; secondary; 26B15; 26A42; Pathwise integral; Stochastic integral; Quadratic variation; Riemann sums; Ito isometry;
مقالات ISI تنوع درجه دوم (ترجمه نشده)
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Keywords: تنوع درجه دوم; Non-smooth Itô’s formula; Quadratic variation; Large deviation
Keywords: تنوع درجه دوم; Fractional Ornstein-Uhlenbeck processes; Quadratic variation; Maximum likelihood estimation; Donsker type approximation; Consistent estimator;
Keywords: تنوع درجه دوم; Austinʼs theorem; Martingale; Measure-free stochastic processes; Quadratic variation; Riesz space; Vector lattice;
Keywords: تنوع درجه دوم; Discrete Fourier transform; Quadratic variation; Microstructure noise; Periodogram; Spectral density; Whittle likelihood;
Keywords: تنوع درجه دوم; primary, 60G18, 60G22; secondary, 60H05Hermite processes; Quadratic variation; Covariation; Wiener chaos; Self-similar processes; Long-range dependence
The quadratic variation of continuous time stochastic processes in vector lattices
Keywords: تنوع درجه دوم; Martingale; Quadratic variation; Stochastic process; Stopping time; Vector lattice;
Edgeworth expansion for the pre-averaging estimator
Keywords: تنوع درجه دوم; Diffusion processes; Edgeworth expansion; high frequency observations; quadratic variation; pre-averaging;
Quantifying the effects of anagenetic and cladogenetic evolution
Keywords: تنوع درجه دوم; Branching diffusion process; Conditioned branching process; Phyletic gradualism; Punctuated equilibrium; Quadratic variation; Yule-Ornstein-Uhlenbeck with jumps process;
Local time and Tanaka formula for the G-Brownian motion
Keywords: تنوع درجه دوم; G-expectation; G-Brownian motion; Local time; Tanaka formula; Quadratic variation;
The quadratic variation of Brownian motion on a time scale
Keywords: تنوع درجه دوم; 60J65; 26E70; 60G05Brownian motion; Time scales; Quadratic variation; Stochastic dynamic equations
International market links and volatility transmission
Keywords: تنوع درجه دوم; C14; G15; Conditional independence; Jump-diffusion; Noncausality; Quadratic variation; Realized variance;
Variance dynamics: Joint evidence from options and high-frequency returns
Keywords: تنوع درجه دوم; C13; C51; G12; G13; Return variance dynamics; Variance risk premium; Options; Variance swap rates; High-frequency returns; Market microstructure; Realized variance; Quadratic variation; Time-changed Lévy processes;
Estimating quadratic variation when quoted prices change by a constant increment
Keywords: تنوع درجه دوم; C10; C22; C80; Realized volatility; Realized variance; Quadratic variation; Market microstructure; High-frequency data; Pure jump process;
Econometric analysis of jump-driven stochastic volatility models
Keywords: تنوع درجه دوم; G12; C51; C52; Lévy process; Method-of-moments; Power variation; Quadratic variation; Realized variance; Stochastic volatility;
Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation
Keywords: تنوع درجه دوم; Discrete time sampling; Fractional Ornstein–Uhlenbeck processes; Ergodic theorem; Quadratic variation
Subsampling realised kernels
Keywords: تنوع درجه دوم; Long run variance estimator; Market frictions; Quadratic variation; Realised kernel; Realised variance; Subsampling;
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Keywords: تنوع درجه دوم; HAC estimator; Long run variance estimator; Market frictions; Quadratic variation; Realised variance;
Sequential optimizing strategy in multi-dimensional bounded forecasting games
Keywords: تنوع درجه دوم; Game-theoretic probability; Hölder exponent; Information criterion; Kullback–Leibler divergence; Quadratic variation; Strong law of large numbers; Universal portfolio
Nonsynchronous covariation process and limit theorems
Keywords: تنوع درجه دوم; Discrete sampling; High-frequency data; Martingale central limit theorem; Nonsynchronicity; Quadratic variation; Realized volatility; Stable convergence; Semimartingale
Realized volatility with stochastic sampling
Keywords: تنوع درجه دوم; High-frequency data; Quadratic variation; Stable convergence
Reflection principle and Ocone martingales
Keywords: تنوع درجه دوم; 60G44; 60G42; 60J65Ocone martingale; Skip free process; Reflection principle; Quadratic variation; Dambis–Dubins–Schwarz Brownian motion
Bipower-type estimation in a noisy diffusion setting
Keywords: تنوع درجه دوم; Bipower variation; Central limit theorem; High-frequency data; Microstructure noise; Quadratic variation; Semimartingale theory; Test for jumps
Approximation via regularization of the local time of semimartingales and Brownian motion
Keywords: تنوع درجه دوم; 60G44; 60H05; 60H99; 60J55; 60J60; 60J65Local time; Stochastic integration by regularization; Quadratic variation; Rate of convergence; Stochastic Fubini’s theorem
A new approach to characterizing and forecasting electricity price volatility
Keywords: تنوع درجه دوم; C14; C53; G10Realized volatility; Bipower variation; Quadratic variation; Jumps; Volatility forecast
Asymptotic properties of realized power variations and related functionals of semimartingales
Keywords: تنوع درجه دوم; 60F17; 60G48Central limit theorem; Quadratic variation; Power variation; Semimartingale
Limit theorems for multipower variation in the presence of jumps
Keywords: تنوع درجه دوم; Bipower variation; Infinite activity; Multipower variation; Power variation; Quadratic variation; Semimartingales; Stochastic volatility
Identification of an isometric transformation of the standard Brownian sheet
Keywords: تنوع درجه دوم; primary; 60J65,62H12,62M40; secondary; 60G15,62M30; Coordinate system; Estimation; Quadratic variation;
Monitoring disruptions in financial markets
Keywords: تنوع درجه دوم; Structural change; CUSUM; GARCH; Quadratic variation; Power variation; High-frequency data; Brownian bridge; Boundary crossing; Sequential tests; Local power;