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20052023
most citedAsymptotic equivalence for inference on the volatility from noisy observations

91 citations · 585 across the 27 of their papers we have counts for

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math.PR2017

Wasserstein and total variation distance between marginals of Lévy processes

Ester Mariucci, Markus Reiß

We present upper bounds for the Wasserstein distance of order between the marginals of Lévy processes, including Gaussian approximations for jumps of infinite activity. Using t…

math.PR2014

Volatility estimation under one-sided errors with applications to limit order books

Markus Bibinger, Moritz Jirak, Markus Reiß

For a semi-martingale , which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation is constructed based on observations i…