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Large and Moderate Deviations for Estimators of Quadratic Variational Processes of Diffusions

Author

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  • Hacène Djellout
  • Arnaud Guillin
  • Liming Wu

Abstract

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Suggested Citation

  • Hacène Djellout & Arnaud Guillin & Liming Wu, 1999. "Large and Moderate Deviations for Estimators of Quadratic Variational Processes of Diffusions," Statistical Inference for Stochastic Processes, Springer, vol. 2(3), pages 195-225, October.
    • Handle: RePEc:spr:sistpr:v:2:y:1999:i:3:p:195-225
    DOI: 10.1023/A:1009950229386
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    Citations

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    Cited by:

    1. Djellout, Hacène & Samoura, Yacouba, 2014. "Large and moderate deviations of realized covolatility," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 30-37.
    2. Hacène Djellout & Hui Jiang, 2018. "Large Deviations Of The Threshold Estimator Of Integrated (Co-)Volatility Vector In The Presence Of Jumps," Post-Print hal-01147189, HAL.
    3. Hacène Djellout & Hui Jiang, 2018. "Large Deviations of the Threshold Estimator of Integrated (Co-)Volatility Vector in the Presence of Jumps," Journal of Theoretical Probability, Springer, vol. 31(3), pages 1606-1624, September.
    4. Gao, Fuqing & Zhu, Lingjiong, 2018. "Some asymptotic results for nonlinear Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 128(12), pages 4051-4077.
    5. Xinwei Feng & Lidan He & Zhi Liu, 2022. "Large Deviation Principles of Realized Laplace Transform of Volatility," Journal of Theoretical Probability, Springer, vol. 35(1), pages 186-208, March.
    6. Gao, Fuqing & Yan, Jun, 2009. "Sample path large and moderate deviations for risk model with delayed claims," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 74-80, August.
    7. Hacène Djellout & Hui Jiang, 2015. "Large Deviations Of The Threshold Estimator Of Integrated (Co-)Volatility Vector In The Presence Of Jumps," Working Papers hal-01147189, HAL.
    8. Hacène Djellout & Arnaud Guillin & Yacouba Samoura, 2014. "Large Deviations Of The Realized (Co-)Volatility Vector," Working Papers hal-01082903, HAL.
    9. Hui, Jiang, 2010. "Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1297-1305, September.
    10. Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.
    11. Hacène Djellout & Arnaud Guillin & Yacouba Samoura, 2017. "Large Deviations Of The Realized (Co-)Volatility Vector," Post-Print hal-01082903, HAL.

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