Blar i BI Open på tidsskrift "Annals of Statistics"

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    • A CLT FOR SECOND DIFFERENCE ESTIMATORS WITH AN APPLICATION TO VOLATILITY AND INTENSITY 

      Stoltenberg, Emil Aas; Mykland, Per A.; Zhang, Lan (Peer reviewed; Journal article, 2022)
      In this paper, we introduce a general method for estimating the quadratic covariation of one or more spot parameter processes associated with continuous time semimartingales, and present a central limit theorem that has ...

    • On partial-sum processes of ARMAX residuals 

      Grønneberg, Steffen; Holcblat, Benjamin (Journal article; Peer reviewed, 2018)
      We establish general and versatile results regarding the limit behavior of the partial-sum process of ARMAX residuals. Illustrations include ARMA with seasonal dummies, misspecified ARMAX models with autocorrelated errors, ...