5 papers · 1 filter
Functional large deviations for Stroock's approximation to a class of Gaussian processes with application to small noise diffusions
Hui Jiang, Lihu Xu, Qingshan Yang
Letting~ be a standard Poisson process, Stroock~ \cite{Stroock-1981} constructed a family of continuous processes by $$Θ_ε(t)=\int_0^tθ_ε(r)dr, \ \ \…
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…
Moderate deviations for the mildly stationary autoregressive models with dependent errors
Hui Jiang, Guangyu Yang, Mingming Yu
In this paper, we consider the normalized least squares estimator of the parameter in a mildly stationary first-order autoregressive (AR(1)) model with dependent errors which are m…
Large deviations of the Threshold estimator of integrated (co-)volatility vector in the presence of jumps
Hacène Djellout, Hui Jiang
Recently a considerable interest has been paid on the estimation problem of the realized volatility and covolatility by using high-frequency data of financial price processes in fi…
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…