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Asymptotics of Asynchronicity
non-synchronous observations quadratic covariation Hayashi-Yoshida estimator
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2011/7/6
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimat...
Yule process sample path asymptotics
Yule process sample path results
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2009/4/2
This paper presents two results on sample paths for the Yule process: one fluid limit theorem and one sample path large deviation result. The main interest is to understand the way large deviation occ...