13 citations · 27 across the 9 of their papers we have counts for
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math.ST2015★ 5 cited
Quasi likelihood analysis of point processes for ultra high frequency data
Teppei Ogihara, Nakahiro Yoshida
We introduce a point process regression model that is applicable to price models and limit order book models. Hawkes type autoregression in the intensity process is generalized to…
math.PR2015
Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering
Teppei Ogihara, Hideyuki Tanaka
We deduce the asymptotic error distribution of the Euler method for the nonlinear filtering problem with continuous-time observations. Previous works by several authors have shown…