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math.PR2015
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…
math.PR2015
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…