Adaptive estimation of continuous-time regression models using high-frequency data
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Cites work
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- ANOVA for diffusions and Itō processes
- Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
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- Efficient estimation of integrated volatility and related processes
- Estimating spot volatility with high-frequency financial data
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- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Inference for Continuous Semimartingales Observed at High Frequency
- Inference theory for volatility functional dependencies
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
- Nonsynchronous covariation process and limit theorems
- On adaptive estimation
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- Realized beta: persistence and predictability
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Cited in
(25)- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Continuous record Laplace-based inference about the break date in structural change models
- Volatility coupling
- Variation and efficiency of high-frequency betas
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- Asymptotic properties of correlation-based principal component analysis
- Efficient estimation of integrated volatility functionals under general volatility dynamics
- Principal Component Analysis of High-Frequency Data
- Bootstrapping high-frequency jump tests
- A local Gaussian bootstrap method for realized volatility and realized beta
- Bootstrapping Laplace transforms of volatility
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- A GMM approach to estimate the roughness of stochastic volatility
- Intraday cross-sectional distributions of systematic risk
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
- Estimation of Leverage Effect: Kernel Function and Efficiency
- Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
- Robust realized integrated beta estimator with application to dynamic analysis of integrated beta
- Jump detection in high-frequency order prices
- High frequency factor analysis with partially observable factors
- Cross-sectional dependence in idiosyncratic volatility
- Continuous record asymptotics for change-point models
- High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times
- Detecting factors of quadratic variation in the presence of market microstructure noise
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