Functional stable limit theorems for quasi-efficient spectral covolatility estimators

DOI10.1016/j.spa.2015.07.009zbMath1327.62188arXiv1401.2272OpenAlexW2241098751MaRDI QIDQ744976

Randolf Altmeyer, Markus Bibinger

Publication date: 12 October 2015

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

Full work available at URL: https://arxiv.org/abs/1401.2272

zbMATH Keywords

asymptotic efficiencyadaptive estimationmicrostructure noisenon-synchronous observationsintegrated volatilitylocal parametric estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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