Estimation of the realized (co-)volatility vector: large deviations approach
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Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Large deviations (60F10) Martingales with discrete parameter (60G42) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cites work
- scientific article; zbMATH DE number 3678842 (Why is no real title available?)
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- scientific article; zbMATH DE number 1494200 (Why is no real title available?)
- scientific article; zbMATH DE number 1405932 (Why is no real title available?)
- scientific article; zbMATH DE number 5029472 (Why is no real title available?)
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- scientific article; zbMATH DE number 3320765 (Why is no real title available?)
- A Cramér type theorem for weighted random variables
- A Tale of Two Time Scales
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A functional large deviations principle for quadratic forms of Gaussian stationary processes
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Asymptotic probabilities and differential equations
- Bootstrapping Realized Volatility
- Bootstrapping realized multivariate volatility measures
- Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces
- Corrigendum to ``Large deviations of realized volatility
- Cramér's condition and Sanov's theorem
- Delta method in large deviations and moderate deviations for estimators
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Edgeworth expansions for realized volatility and related estimators
- Efficient estimation of drift parameters in stochastic volatility models
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- High-frequency covariance estimates with noisy and asynchronous financial data
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
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- Large and moderate deviations of realized covolatility
- Large deviation analysis of the single server queue
- Large deviation for the empirical correlation coefficient of two Gaussian random variables
- Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
- Large deviations and fast simulation in the presence of boundaries.
- Large deviations and testing statistical hypotheses. I: Large deviations of sums of random vectors
- Large deviations and testing statistical hypotheses. II: Large deviations of maximum points of random fields
- Large deviations and testing statistical hypotheses. IV: The statistical invariance principle and the laws of conservation
- Large deviations for independent random variables – Application to Erdös-Renyi's functional law of large numbers
- Large deviations for processes with independent increments
- Large deviations for processes with independent increments
- Large deviations for quadratic forms of stationary Gaussian processes
- Large deviations for quadratic functionals of Gaussian processes
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- Large deviations for the extended Heston model: the large-time case
- Large deviations for vector-valued Lévy processes
- Large deviations for weighted empirical mean with outliers
- Large deviations of realized volatility
- Large deviations of semimartingales via convergence of the predictable characteristics
- Large deviations theorems for optimal investment problems with large portfolios
- Large deviations: From empirical mean and measure to partial sums process
- Limit theorems for multipower variation in the presence of jumps
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps
- Nonparametric estimation for stochastic volatility models
- Nonsynchronous covariation process and limit theorems
- Portfolio choice with endogenous utility: a large deviations approach.
- Random Perturbations of Dynamical Systems
- Realized beta: persistence and predictability
- Sample path large deviations and intree networks
- Sample path large deviations and optimal importance sampling for stochastic volatility models
- Sample path large deviations for squares of stationary Gaussian processes
- Sample path large deviations in finer topologies
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model
- Some Applications and Methods of Large Deviations in Finance and Insurance
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
- The large-maturity smile for the Heston model
- Uniform large and moderate deviations for functional empirical processes
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
Cited in
(10)- Large deviations of time-averaged statistics for Gaussian processes
- scientific article; zbMATH DE number 7660124 (Why is no real title available?)
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- Central limit theorem and moderate deviations for a perturbed stochastic Cahn-Hilliard equation
- Self-normalized Cramér-type moderate deviations for explosive Vasicek model
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
- Large deviation principles of realized Laplace transform of volatility
- Large and moderate deviations of realized covolatility
- Large deviations of realized volatility
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