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Efficient parameter estimation for parabolic SPDEs based on a log-linear
  model for realized volatilities
v1v2 (latest)

Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities

1 July 2022
M. Bibinger
Patrick Bossert
ArXiv (abs)PDFHTML

Papers citing "Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities"

4 / 4 papers shown
Title
Small dispersion asymptotics for an SPDE in two space dimensions using
  triple increments
Small dispersion asymptotics for an SPDE in two space dimensions using triple increments
Yozo Tonaki
Yusuke Kaino
Masayuki Uchida
77
1
0
05 Aug 2024
Estimation for the damping factor of the driving process of an SPDE in
  two space dimensions
Estimation for the damping factor of the driving process of an SPDE in two space dimensions
Yozo Tonaki
Yusuke Kaino
Masayuki Uchida
49
2
0
01 Jul 2024
Small diffusivity asymptotics for a linear parabolic SPDE in two space
  dimensions
Small diffusivity asymptotics for a linear parabolic SPDE in two space dimensions
Yozo Tonaki
Yusuke Kaino
Masayuki Uchida
123
3
0
03 Apr 2024
Parameter estimation for second-order SPDEs in multiple space dimensions
Parameter estimation for second-order SPDEs in multiple space dimensions
Patrick Bossert
118
4
0
27 Oct 2023
1