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math.PR2016
Moderate deviations for bipower variation of general function and Hayashi-Yoshida estimators
Hacène Djellout, Arnaud Guillin, Hui Jiang +1
We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a ne…
math.PR2014
Asymptotic distributions related to mildly-explosive second order autoregressive models
Hui Jiang, Mingming Yu, Guangyu Yang
In this paper, we consider the normalized least squares estimator of the parameter in a mildly-explosive first-order autoregressive model with dependent errors which are modeled as…