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From Diffusions to Semimartingales

Yacine Aïıt-Sahalia and Jean Jacod

in High-Frequency Financial Econometrics

Published in print:
2014
Published Online:
October 2017
ISBN:
9780691161433
eISBN:
9781400850327
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161433.003.0001
Subject:
Economics and Finance, Econometrics

This chapter presents a quick review of the theory of semimartingales, which are processes for which statistical methods are considered in this book. Topics covered include diffusions, Lévy ... More


Lévy Processes and Benfordʼs Law

Klaus Schürger

in Benford's Law: Theory and Applications

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691147611
eISBN:
9781400866595
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691147611.003.0006
Subject:
Mathematics, Probability / Statistics

This chapter examines Lévy processes (LPs). These processes can be thought of as random walks in continuous time, having independent and stationary increments, with the assumption that the ... More


High-Frequency Observations: Identifiability and Asymptotic Efficiency

Yacine Aïıt-Sahalia and Jean Jacod

in High-Frequency Financial Econometrics

Published in print:
2014
Published Online:
October 2017
ISBN:
9780691161433
eISBN:
9781400850327
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161433.003.0005
Subject:
Economics and Finance, Econometrics

This chapter starts with a brief reminder about a number of concepts and results which pertain to classical statistical models, without specific reference to stochastic processes. It then introduces ... More


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