Large deviations of realized volatility
From MaRDI portal
Publication:665439
DOI10.1016/J.SPA.2011.09.002zbMath1237.91238OpenAlexW3121342296MaRDI QIDQ665439
Publication date: 5 March 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2011.09.002
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Large deviations (60F10)
Related Items (5)
Estimation of the realized (co-)volatility vector: large deviations approach ⋮ Self-normalized Cramér-type moderate deviations for explosive Vasicek model ⋮ Large and moderate deviations of realized covolatility ⋮ Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps ⋮ Large deviation principles of realized Laplace transform of volatility
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
- Realised quantile-based estimation of the integrated variance
- Econometric analysis of jump-driven stochastic volatility models
- Edgeworth expansions for realized volatility and related estimators
- Large deviations for a general class of random vectors
- Testing for jumps in a discretely observed process
- A generalization of Hölder's inequality and some probability inequalities
- On moderate deviations for martingales
- Large deviations for quadratic functionals of Gaussian processes
- Large deviations for martingales via Cramér's method
- Large deviations for martingales.
- Long memory continuous time models
- Large deviations for quadratic forms of stationary Gaussian processes
- Limit theorems for multipower variation in the presence of jumps
- ARCH models as diffusion approximations
- Contingent Claims and Market Completeness in a Stochastic Volatility Model
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
- Bootstrapping Realized Volatility
- Stochastic Volatility: Origins and Overview
- On Large Deviations from the Invariant Measure
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- Generalizations of Hölder's inequality
This page was built for publication: Large deviations of realized volatility
