Efficient estimation of integrated volatility and related processes
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Cites work
- An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
- ANOVA for diffusions and Itō processes
- Asymptotic equivalence for inference on the volatility from noisy observations
- Asymptotic equivalence of density estimation and Gaussian white noise
- Asymptotic equivalence of nonparametric regression and white noise
- Asymptotic methods in statistical decision theory
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Asymptotic Statistics
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- scientific article; zbMATH DE number 48952 (Why is no real title available?)
- scientific article; zbMATH DE number 490141 (Why is no real title available?)
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
- Inference for Continuous Semimartingales Observed at High Frequency
- Irregular sampling and central limit theorems for power variations: the continuous case
- Long memory in continuous-time stochastic volatility models
- Modeling and Forecasting Realized Volatility
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Power Variation and Time Change
- Quarticity and other functionals of volatility: efficient estimation
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Realized power variation and stochastic volatility model
- Realized volatility when sampling times are possibly endogenous
- Stochastic differential equations. An introduction with applications.
- The Distribution of Realized Exchange Rate Volatility
- The econometrics of high-frequency data
- The realized Laplace transform of volatility
- Volatility occupation times
Cited in
(35)- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Estimating the integrated volatility with tick observations
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Estimation for high-frequency data under parametric market microstructure noise
- Volatility coupling
- Large deviation principles of realized Laplace transform of volatility
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models
- Adaptive estimation of continuous-time regression models using high-frequency data
- An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Integration of CARMA processes and spot volatility modelling
- Bridge homogeneous volatility estimators
- Realized range-based estimation of integrated variance
- Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Predictive Inference for Integrated Volatility
- Volatility estimation under one-sided errors with applications to limit order books
- Nonparametric Estimation Methods of Integrated Multivariate Volatilities
- Quarticity and other functionals of volatility: efficient estimation
- Efficient estimation of integrated volatility functionals under general volatility dynamics
- Efficient volatility estimation in a two-factor model
- G-M integrated type instantaneous volatility estimation
- A local Gaussian bootstrap method for realized volatility and realized beta
- Analysis of the efficiency of realized bipower variation and realized multipower variation
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
- Optimal nonparametric range-based volatility estimation
- Empirical likelihood for high frequency data
- Local Parametric Estimation in High Frequency Data
- Bumvu estimators
- Realized candlestick wicks
- Efficient estimation of a multivariate multiplicative volatility model
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
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