Crossref Citations
This article has been cited by the following publications. This list is generated based on data provided by
Crossref.
Figueroa-López, José E.
2008.
Small-time moment asymptotics for Lévy processes.
Statistics & Probability Letters,
Vol. 78,
Issue. 18,
p.
3355.
Figueroa-López, José E.
2009.
Nonparametric estimation of time-changed Lévy models under high-frequency data.
Advances in Applied Probability,
Vol. 41,
Issue. 4,
p.
1161.
Barndorff-Nielsen, Ole E.
and
Veraart, Almut
2009.
Stochastic Volatility of Volatility in Continuous Time.
SSRN Electronic Journal,
Figueroa-López, José E.
and
Houdré, Christian
2009.
Small-time expansions for the transition distributions of Lévy processes.
Stochastic Processes and their Applications,
Vol. 119,
Issue. 11,
p.
3862.
Figueroa-López, José E.
2009.
Nonparametric estimation of time-changed Lévy models under high-frequency data.
Advances in Applied Probability,
Vol. 41,
Issue. 4,
p.
1161.
Shimizu, Yasutaka
2010.
Estimation of the Expected Discounted Penalty Function for Levy Insurance Risks.
SSRN Electronic Journal,
Aït-Sahalia, Yacine
and
Jacod, Jean
2010.
Is Brownian motion necessary to model high-frequency data?.
The Annals of Statistics,
Vol. 38,
Issue. 5,
Keller-Ressel, Martin
and
Muhle-Karbe, Johannes
2010.
Asymptotic and Exact Pricing of Options on Variance.
SSRN Electronic Journal,
Liu, Guangying
and
Zhang, Xinsheng
2011.
Power variation of fractional integral processes with jumps.
Statistics & Probability Letters,
Vol. 81,
Issue. 8,
p.
962.
FIGUEROA‐LÓPEZ, JOSÉ E.
2011.
Central Limit Theorems for the Non‐Parametric Estimation of Time‐Changed Lévy Models.
Scandinavian Journal of Statistics,
Vol. 38,
Issue. 4,
p.
748.
Muhle-Karbe, Johannes
and
Nutz, Marcel
2011.
Small-Time Asymptotics of Option Prices and First Absolute Moments.
Journal of Applied Probability,
Vol. 48,
Issue. 4,
p.
1003.
Rosenbaum, Mathieu
and
Tankov, Peter
2011.
Asymptotic results for time-changed Lévy processes sampled at hitting times.
Stochastic Processes and their Applications,
Vol. 121,
Issue. 7,
p.
1607.
Muhle-Karbe, Johannes
and
Nutz, Marcel
2011.
Small-Time Asymptotics of Option Prices and First Absolute Moments.
Journal of Applied Probability,
Vol. 48,
Issue. 4,
p.
1003.
Comte, Fabienne
and
Genon-Catalot, Valentine
2011.
Estimation for Lévy processes from high frequency data within a long time interval.
The Annals of Statistics,
Vol. 39,
Issue. 2,
Figueroa-López, José E.
2012.
Handbook of Computational Finance.
p.
61.
Temme, Johannes P.
2012.
Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers.
Mathematical Methods of Operations Research,
Vol. 76,
Issue. 1,
p.
21.
Shimizu, Yasutaka
2012.
Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model.
Scandinavian Actuarial Journal,
Vol. 2012,
Issue. 1,
p.
56.
Diop, Assane
2012.
Convergence of some random functionals of discretized semimartingales.
Bernoulli,
Vol. 18,
Issue. 4,
Bücher, Axel
and
Vetter, Mathias
2013.
Nonparametric inference on Lévy measures and copulas.
The Annals of Statistics,
Vol. 41,
Issue. 3,
Liu, Guangying
Wei, Zhengyuan
and
Zhang, Xinsheng
2013.
Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps.
Journal of Statistical Planning and Inference,
Vol. 143,
Issue. 8,
p.
1307.