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Under treatment effect heterogeneity, an instrument identifies the instrument-specific local average treatment effect (LATE). With multiple instruments, two-stage least squares (2SLS) estimand is a weighted average of different LATEs. What…
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 financial econometrics. Threshold estimation is one of the…
The spectrum and coherency are useful quantities for characterizing the temporal correlations and functional relations within and between point processes. This paper begins with a review of these quantities, their interpretation and how…
This letter describes a method for estimating regions of attraction and bounds on permissible perturbation amplitudes in nonlinear fluids systems. The proposed approach exploits quadratic constraints between the inputs and outputs of the…
We prove a sequence of limiting results about weakly dependent stationary and regularly varying stochastic processes in discrete time. After deducing the limiting distribution for individual clusters of extremes, we present a new type of…
This paper studies the question of filtering and maximizing terminal wealth from expected utility in a partially information stochastic volatility models. The special features is that the only information available to the investor is the…
We derive a feasible criterion for the bias-optimal selection of the tuning parameters involved in estimating the integrated volatility of the spot volatility via the simple realized estimator by Barndorff-Nielsen and Veraart (2009). Our…
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic…
We study inference on the common stochastic trends in a non-stationary, $N$-variate time series $y_{t}$, in the possible presence of heavy tails. We propose a novel methodology which does not require any knowledge or estimation of the tail…
We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequency, we use limit theorems for multipower variations and…
For a semimartingale with jumps, we propose a new estimation method for integrated volatility, i.e., the quadratic variation of the continuous martingale part, based on the global jump filter proposed by Inatsugu and Yoshida [8]. To decide…
This article establishes an asymptotic theory for volatility estimation in an infinite-dimensional setting. We consider mild solutions of semilinear stochastic partial differential equations and derive a stable central limit theorem for the…
Group sequential designs in clinical trials allow for interim efficacy and futility monitoring. Adjustment for baseline covariates can increase power and precision of estimated effects. However, inconsistently applying covariate adjustment…
In this paper an arbitrage strategy is constructed for the modified Black-Scholes model driven by fractional Brownian motion or by a time changed fractional Brownian motion, when the volatility is stochastic. This latter property allows the…
The local volatility model is a widely used for pricing and hedging financial derivatives. While its main appeal is its capability of reproducing any given surface of observed option prices---it provides a perfect fit---the essential…
We analyze the fluctuations of incomplete $U$-statistics over a triangular array of independent random variables. We give criteria for a Central Limit Theorem (CLT, for short) to hold in the sense that we prove that an appropriately scaled…
We present a tractable non-independent increment process which provides a high modeling flexibility. The process lies on an extension of the so-called Harris chains to continuous time being stationary and Feller. We exhibit constructions,…
We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling…
This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequalities for martingales. The approach is entirely probabilistic…
We consider two kinds of stochastic volatility models. Both kinds of models contain a stationary volatility process, the density of which, at a fixed instant in time, we aim to estimate. We discuss discrete time models where for instance a…