Efficient estimation of integrated volatility functionals under general volatility dynamics
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Cited in
(18)- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Efficient estimation for the volatility of stochastic interest rate models
- Adaptive estimation of continuous-time regression models using high-frequency data
- The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics
- An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
- Integration of CARMA processes and spot volatility modelling
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Efficient estimation of integrated volatility and related processes
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- Predictive Inference for Integrated Volatility
- New theory of estimation of integrated volatility with applications.
- Quarticity and other functionals of volatility: efficient estimation
- Estimation of volatility functionals: the case of a \(\sqrt{n}\) window
- Generalized method of integrated moments for high-frequency data
- On Integrated Volatility of Itô Semimartingales when Sampling Times are Endogenous
- Optimal nonparametric range-based volatility estimation
- Testing for jumps in a discretely observed price process with endogenous sampling times
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
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