A Gaussian calculus for inference from high frequency data

DOI10.1007/S10436-010-0152-8MaRDI QIDQ470517zbMATH OpenOpenAlexFDO

Publication date 12 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-010-0152-8

consistency efficiency likelihood inference realized volatility continuity contiguity stable convergence cumulants high frequency data discrete observation asynchronous observation Itō process

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Non-Markovian processes: estimation (62M09) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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A Tale of Two Time Scales
ANOVA for diffusions and Itō processes
Asymptotic error distributions for the Euler method for stochastic differential equations
Bootstrapping Realized Volatility
Continuous Record Asymptotics for Rolling Sample Variance Estimators
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Estimating covariation: Epps effect, microstructure noise
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Inference for volatility-type objects and implications for hedging
Limit distributions for the error in approximations of stochastic integrals
Long memory in continuous-time stochastic volatility models
Modeling and Forecasting Realized Volatility
On covariance estimation of non-synchronously observed diffusion processes
On mixing and stability of limit theorems
Realised quantile-based estimation of the integrated variance
The Distribution of Realized Exchange Rate Volatility

Cited in

(13)

Second-order asymptotic expansion for a non-synchronous covariation estimator
Optimal Execution with Quadratic Variation Inventories
Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data
Bootstrapping realized multivariate volatility measures
On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
Asymptotic results for the Fourier estimator of the integrated quarticity
Estimation of correlation between latent processes
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Confidence interval for correlation estimator between latent processes
ETF basket-adjusted covariance estimation
Estimation of integrated quadratic covariation with endogenous sampling times
The double Gaussian approximation for high frequency data

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