310 citations · 1.1k across the 52 of their papers we have counts for
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Edgeworth expansion for Euler approximation of continuous diffusion processes
Mark Podolskij, Bezirgen Veliyev, Nakahiro Yoshida
In this paper we present the Edgeworth expansion for the Euler approximation scheme of a continuous diffusion process driven by a Brownian motion. Our methodology is based upon a r…
On limit theory for functionals of stationary increments Levy driven moving averages
Andreas Basse-O'Connor, Claudio Heinrich, Mark Podolskij
In this paper we obtain new limit theorems for variational functionals of high frequency observations of stationary increments Lévy driven moving averages. We will see that the asy…
A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities
Mathias Mørck Ljungdahl, Mark Podolskij
In this paper we present some new limit theorems for power variations of stationary increment Lévy driven moving average processes. Recently, such asymptotic results have been inve…
Estimation of the linear fractional stable motion
Stepan Mazur, Dmitry Otryakhin, Mark Podolskij
In this paper we investigate the parametric inference for the linear fractional stable motion in high and low frequency setting. The symmetric linear fractional stable motion is a…
Local asymptotic self-similarity for heavy tailed harmonizable fractional Lévy motions
Andreas Basse-O'Connor, Thorbjørn Grønbæk, Mark Podolskij
In this work we characterize the local asymptotic self-similarity of harmonizable fractional Lévy motions in the heavy tailed case. The corresponding tangent process is shown to be…