Limit theorems in the Fourier transform method for the estimation of multivariate volatility

DOI10.1016/J.SPA.2010.11.016zbMath1220.62052OpenAlexW2100678058MaRDI QIDQ544506

Emmanuelle Clément, Arnaud Gloter

Publication date: 15 June 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2010.11.016

zbMATH Keywords

Fourier transformweak convergenceItô processnon-parametric estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Stochastic integrals (60H05)

Related Items (5)

Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling ⋮ Estimation of the stochastic leverage effect using the Fourier transform method ⋮ An Unbiased Measure of Integrated Volatility in the Frequency Domain ⋮ Estimation of volatility in a high-frequency setting: a short review ⋮ Asymptotic results for the Fourier estimator of the integrated quarticity

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