Kirkby, J. L.; Nguyen, Dang H.; Nguyen, Duy; Nguyen, Nhu N. Maximum likelihood estimation of diffusions by continuous time Markov chain. (English) Zbl 07476377 Comput. Stat. Data Anal. 168, Article ID 107408, 20 p. (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{J. L. Kirkby} et al., Comput. Stat. Data Anal. 168, Article ID 107408, 20 p. (2022; Zbl 07476377) Full Text: DOI arXiv
Shen, Keren; Yao, Jianfeng; Li, Wai Keung On a spiked model for large volatility matrix estimation from noisy high-frequency data. (English) Zbl 1471.62184 Comput. Stat. Data Anal. 131, 207-221 (2019). MSC: 62-08 62P05 62H12 PDFBibTeX XMLCite \textit{K. Shen} et al., Comput. Stat. Data Anal. 131, 207--221 (2019; Zbl 1471.62184) Full Text: DOI arXiv
Wang, Fangfang Optimal design of Fourier estimator in the presence of microstructure noise. (English) Zbl 1506.62185 Comput. Stat. Data Anal. 76, 708-722 (2014). MSC: 62-08 62P05 62M15 PDFBibTeX XMLCite \textit{F. Wang}, Comput. Stat. Data Anal. 76, 708--722 (2014; Zbl 1506.62185) Full Text: DOI
Teuber, T.; Lang, A. A new similarity measure for nonlocal filtering in the presence of multiplicative noise. (English) Zbl 1254.94010 Comput. Stat. Data Anal. 56, No. 12, 3821-3842 (2012). MSC: 94A08 94A12 62H35 62M40 PDFBibTeX XMLCite \textit{T. Teuber} and \textit{A. Lang}, Comput. Stat. Data Anal. 56, No. 12, 3821--3842 (2012; Zbl 1254.94010) Full Text: DOI Link
Li, Junye; Favero, Carlo; Ortu, Fulvio A spectral estimation of tempered stable stochastic volatility models and option pricing. (English) Zbl 1254.91725 Comput. Stat. Data Anal. 56, No. 11, 3645-3658 (2012). MSC: 91G20 60G51 60J75 62P05 91B70 91G70 PDFBibTeX XMLCite \textit{J. Li} et al., Comput. Stat. Data Anal. 56, No. 11, 3645--3658 (2012; Zbl 1254.91725) Full Text: DOI Link
Kotchoni, Rachidi Applications of the characteristic function-based continuum GMM in finance. (English) Zbl 1254.91754 Comput. Stat. Data Anal. 56, No. 11, 3599-3622 (2012). MSC: 91G70 62P05 91B84 62M10 91B82 60E10 PDFBibTeX XMLCite \textit{R. Kotchoni}, Comput. Stat. Data Anal. 56, No. 11, 3599--3622 (2012; Zbl 1254.91754) Full Text: DOI
Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe Jump robust daily covariance estimation by disentangling variance and correlation components. (English) Zbl 1254.91565 Comput. Stat. Data Anal. 56, No. 11, 2993-3005 (2012). MSC: 91B82 PDFBibTeX XMLCite \textit{K. Boudt} et al., Comput. Stat. Data Anal. 56, No. 11, 2993--3005 (2012; Zbl 1254.91565) Full Text: DOI Link
Ignatieva, Katja; Platen, Eckhard Estimating the diffusion coefficient function for a diversified world stock index. (English) Zbl 1242.91215 Comput. Stat. Data Anal. 56, No. 6, 1333-1349 (2012). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{K. Ignatieva} and \textit{E. Platen}, Comput. Stat. Data Anal. 56, No. 6, 1333--1349 (2012; Zbl 1242.91215) Full Text: DOI
Monsalve-Cobis, Abelardo; González-Manteiga, Wenceslao; Febrero-Bande, Manuel Goodness-of-fit test for interest rate models: an approach based on empirical processes. (English) Zbl 1262.91154 Comput. Stat. Data Anal. 55, No. 12, 3073-3092 (2011). MSC: 91G70 62M05 62M10 91G30 PDFBibTeX XMLCite \textit{A. Monsalve-Cobis} et al., Comput. Stat. Data Anal. 55, No. 12, 3073--3092 (2011; Zbl 1262.91154) Full Text: DOI
Taufer, Emanuele; Leonenko, Nikolai Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution. (English) Zbl 1453.60005 Comput. Stat. Data Anal. 53, No. 6, 2427-2437 (2009). MSC: 60-08 60G51 PDFBibTeX XMLCite \textit{E. Taufer} and \textit{N. Leonenko}, Comput. Stat. Data Anal. 53, No. 6, 2427--2437 (2009; Zbl 1453.60005) Full Text: DOI
Golightly, A.; Wilkinson, D. J. Bayesian inference for nonlinear multivariate diffusion models observed with error. (English) Zbl 1452.62603 Comput. Stat. Data Anal. 52, No. 3, 1674-1693 (2008). MSC: 62M05 60J60 62F15 62-08 PDFBibTeX XMLCite \textit{A. Golightly} and \textit{D. J. Wilkinson}, Comput. Stat. Data Anal. 52, No. 3, 1674--1693 (2008; Zbl 1452.62603) Full Text: DOI
Detemple, Jérôme; Rindisbacher, Marcel Monte Carlo methods for derivatives of options with discontinuous payoffs. (English) Zbl 1161.62420 Comput. Stat. Data Anal. 51, No. 7, 3393-3417 (2007). MSC: 62P05 65C05 65C60 PDFBibTeX XMLCite \textit{J. Detemple} and \textit{M. Rindisbacher}, Comput. Stat. Data Anal. 51, No. 7, 3393--3417 (2007; Zbl 1161.62420) Full Text: DOI
Lee, Jaeyong; Kim, Yongdai A new algorithm to generate beta processes. (English) Zbl 1429.62023 Comput. Stat. Data Anal. 47, No. 3, 441-453 (2004). MSC: 62-08 65C10 PDFBibTeX XMLCite \textit{J. Lee} and \textit{Y. Kim}, Comput. Stat. Data Anal. 47, No. 3, 441--453 (2004; Zbl 1429.62023) Full Text: DOI