Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient
ESAIM: Probability and Statistics, Tome 4 (2000), pp. 205-227.
@article{PS_2000__4__205_0,
     author = {Gloter, Arnaud},
     title = {Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient},
     journal = {ESAIM: Probability and Statistics},
     pages = {205--227},
     publisher = {EDP-Sciences},
     volume = {4},
     year = {2000},
     mrnumber = {1808927},
     zbl = {1043.62070},
     language = {en},
     url = {http://www.numdam.org/item/PS_2000__4__205_0/}
}
TY  - JOUR
AU  - Gloter, Arnaud
TI  - Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient
JO  - ESAIM: Probability and Statistics
PY  - 2000
SP  - 205
EP  - 227
VL  - 4
PB  - EDP-Sciences
UR  - http://www.numdam.org/item/PS_2000__4__205_0/
LA  - en
ID  - PS_2000__4__205_0
ER  - 
%0 Journal Article
%A Gloter, Arnaud
%T Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient
%J ESAIM: Probability and Statistics
%D 2000
%P 205-227
%V 4
%I EDP-Sciences
%U http://www.numdam.org/item/PS_2000__4__205_0/
%G en
%F PS_2000__4__205_0
Gloter, Arnaud. Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient. ESAIM: Probability and Statistics, Tome 4 (2000), pp. 205-227. http://www.numdam.org/item/PS_2000__4__205_0/

[1] O.E. Barndorff-Nielsen and N. Shephard, Aggregation and model construction for volatility models. Working paper series No. 10. Center for Analytical Finance, University of Aarhus ( 1998).

[2] G. Dohnal, On estimating the diffusion coefficient. J. Appl. Probab. 24 ( 1987) 105-114. | MR | Zbl

[3] V. Genon-Catalot and J. Jacod, On the estimation of the diffusion coefficient formultidimensional diffusion processes. Ann. Inst. H. Poincaré Probab. Statist. 29( 1993) 119-151. | Numdam | MR | Zbl

[4] V. Genon-Catalot, T. Jeantheau and C. Laredo, Limit theorems for discretely observed stochastic volatility models. Bernoulli 4 ( 1998) 283-303. | MR | Zbl

[5] A. Gloter, Parameter estimation for a discrete sampling of an integrated Ornstein-Uhlenbeck process. Statistics (to appear). | MR | Zbl

[6] J. Hull and A. White, The pricing of options on assets with stochastic volatilities. J. Finance 42 ( 1987) 281-300.

[7] J. Jacod, On continuous conditional Gaussian martingales and stable convergence in law. Séminaire de Probabilités XXXI. 1655. Springer, Berlin, Lectures Notes in Math. ( 1997) 232-246. | Numdam | MR | Zbl

[8] M. Kessler, Estimation of an ergodic diffusion from discrete observations. Scand. J. Statist. 24 ( 1997) 211-229. | MR | Zbl

[9] B. Leblanc, Modélisation de la Volatilité d'un Actif Financier et Applications. Thèse, Université Paris 7 ( 1997).

[10] M. Lefebvre, On the inverse of the first hitting time problem for bidimensional processes. J. Appl. Probab.34 ( 1997) 610-622. | MR | Zbl

[11] S. Pastorello, E. Renault and N. Touzi, Statistical inference for random variance option pricing. Southern European Economics Discussion Series, D.P.136 ( 1994).

[12] D. Revuz and M. Yor, Continuous Martingales and Brownian Motion. Springer-Verlag, Berlin Heidelberg, second edition ( 1994). | MR | Zbl