Inference for General Semimartingales and Self-similar Processes

Jaya P. N. Bishwal
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Jaya P. N. Bishwal: University of North Carolina at Charlotte, Department of Mathematics and Statistics

Chapter Chapter 5 in Parameter Estimation in Stochastic Volatility Models, 2022, pp 273-294 from Springer

Abstract: Abstract In this chapter, we give conditions for local asymptotic mixed normality (LAMN) when the observed process is a semimartingale and the observation time increases to infinity with decreasing time interval on a discrete observation scheme. As a consequence we obtain asymptotic efficiency of various estimators of the model.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-03861-7_5

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DOI: 10.1007/978-3-031-03861-7_5

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