Testing long memory based on a discretely observed process
Tóm tắt
Từ khóa
Tài liệu tham khảo
Y Aït-Sahalia, J Jacod. Testing for jumps in a discretely observed process, Ann Statist, 2009, 37: 184–222.
Y Aït-Sahalia, J Jacod. Is brownian motion necessary to model high-frequency data? Ann Statist, 2010, 38: 3093–3128.
Y Aït-Sahalia, J Jacod. Testing whether jumps have finite or infinite activity, Ann Statist, 2011, 39: 1689–1719.
T G Andersen, T Bollerslev, F X Diebold, P Labys. Modeling and forecasting realized volatility, Econometrica, 2003, 71: 579–625.
F Bandi, J Russell. Microstructure noise, realized variance, and optimal sampling, Rev Econom Stud, 2008, 75: 339–369.
O Barndorff-Nielsen, J Corcuera, M Podolskij, J Woerner. Bipower variation for Gaussian processes with stationary increments, J Appl Probab, 2009, 46: 132–150.
O Barndorff-Nielsen, S Graversen, J Jacod, M Podolskij, N Shephard. A central limit theorem for realised power and bipower variations of continuous semimartingales, In: From Stochastic Calculus to Mathematical Finance, The Shiryaev Festschrift, Y Kabanov, R Liptser, J Stoyanov, eds, Springer, 2006: 33–69.
O Barndorff-Nielsen, N Shephard. Econometrics of testing for jumps in financial economics using bipower variation, J Financial Econom, 2006, 4: 1–30.
O Barndorff-Nielsen, N Shephard, M Winkel. Limit theorems for multipower variation in the presence of jumps, Stochastic Process Appl, 2006, 116: 796–806.
J Beran, Y Feng, S Ghosh, R Kulik. Long-Memory Processes: Probabilistic Properties and Statistical Methods, Springer-Verlag, 2013.
T Björk, H Hult. A note on Wick products and the fractional Black-Scholes model, Finance Stoch, 2005, 9: 197–209.
F Black, M Scholes. The pricing of options and corporate liabilities, J Polit Econ, 1973, 81: 637–654.
R Cont, C Mancini. Nonparametric tests for pathwise properties of semimartingales, Bernoulli, 2011, 17: 781–813.
J Corcuera, D Nualart, J Woerner. Power variation of some integral long-memory processes, Bernoulli, 2006, 12: 713–735.
F Corsi, D Pirino, R Renò. Threshold bipower variation and the impact of jumps on volatility forecasting, J Econometrics, 2010, 159: 276–288.
S Dajcman. Time-varying long-range dependence in stock market returns and financial market disruptions-a case of eight European countries, Appl Econ Lett, 2012, 19: 953–957.
F Delbaen, W Schachermayer. A general version of the fundamental theorem of asset pricing, Math Ann, 1994, 300: 463–520.
P Doukhan, G Oppenheim, M Taqqu. Theory and Applications of Long-Range Dependence, Birkhauser, 2003.
R J Elliott, J Van der Hoek. A general fractional white noise theory and applications to finance, Math Finance, 2003, 13: 301–330.
P Guasoni. No arbitrage under transaction costs, with fractional brownian motion and beyond, Math Finance, 2006, 16: 569–582.
J Harrison, S Pliska. Martingales and stochastic integrals in the theory of continuous trading, Stochastic Process Appl, 1981, 11: 215–260.
Y Z Hu, B Øksendal. Fractional white noise calculus and applications to finance, Infin Dimens Anal Quantum Probab Relat Top, 2003, 6: 1–32.
R Jarrow, P Protter, H Sayit. No arbitrage without semimartingales, Ann Appl Probab, 2009, 19: 596–616.
B Y Jing, X B Kong, Z Liu. Modeling high-frequency financial data by pure jump processes, Ann Statist, 2012, 40: 759–784.
X B Kong, B Y Jing, C X Li. Is the Driving Force of a Continuous Process a Brownian Motion or Fractional Brownian Motion? J Math Finance, 2013, 3: 454–464.
S Lee, P Mykland. Jumps in financial markets: A new nonparametric test and jump dynamics, Rev Financ Stud, 2008, 21: 2535–2563.
G Y Liu, X S Zhang. Power variation of fractional integral processes with jumps, Statist Probab Lett, 2011, 81: 962–972.
G Y Liu, X S Zhang, Z Y Wei. Asymptotic properties for multipower variation of semimartingales and Gaussian stationary processes with jumps, J Statist Plann Inference, 2013, 143: 1307–1319.
T Mikosch, C Starica. Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects, Rev Econ Statist, 2004, 86: 378–390.
S H Poon. A Practical Guide to Forecasting Financial Market Volatility, John Wiley & Sons, 2005.
S H Poon, C W J Granger. Forecasting volatility in financial markets: A review, J Econ Lit, 2003, 41: 478–539.
W Willinger, M S Taqqu, V Teverovsky. Stock market prices and long-range dependence, Finance Stoch, 1999, 3: 1–13.
L Young. An inequality of the hölder type, connected with stieltjes integration, Acta Math, 1936, 67: 251–282.