搜索结果: 1-2 共查到“应用经济学 diffusion processes”相关记录2条 . 查询时间(0.031 秒)
On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes
High dimension high frequency integrated covariance matrix
2010/10/20
We consider the estimation of integrated covariance matrices of high dimensional diffusion processes by using high frequency data. We start by studying the most commonly used estimator, the realized ...
A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
discretization scheme diffusion processes
2010/12/13
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Mo...