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A weak law of large numbers for realised covariation in a Hilbert space setting
This article generalises the concept of realised covariation to Hilbert-...
11/25/2020 ∙ by Fred Espen Benth, et al. ∙
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High-frequency Estimation of the Lévy-driven Graph Ornstein-Uhlenbeck process
We consider the Graph Ornstein-Uhlenbeck (GrOU) process observed on a no...
08/25/2020 ∙ by Valentin Courgeau, et al. ∙
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Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes
This article studies the finite sample behaviour of a number of estimato...
07/13/2020 ∙ by Phillip Murray, et al. ∙
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Likelihood theory for the Graph Ornstein-Uhlenbeck process
We consider the problem of modelling restricted interactions between con...
05/26/2020 ∙ by Valentin Courgeau, et al. ∙
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Scoring Predictions at Extreme Quantiles
Prediction of quantiles at extreme tails is of interest in numerous appl...
01/14/2020 ∙ by Axel Gandy, et al. ∙
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Hybrid simulation scheme for volatility modulated moving average fields
We develop a simulation scheme for a class of spatial stochastic process...
09/05/2017 ∙ by Claudio Heinrich, et al. ∙
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