G-M integrated type instantaneous volatility estimation

MaRDI QIDQ5237656zbMATH OpenFDO

Authors Xin Yang, Shanchao Yang, Wei-Wei Xu

Publication date 18 October 2019

zbMATH Keywords

asymptotic propertiesdiffusion processGasser-Müller integrated type estimatorinstantaneous volatility

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Stochastic models in economics (91B70)

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Cites work

• A Fourier transform method for nonparametric estimation of multivariate volatility
• ANOVA for diffusions and Itō processes
• Closing the GARCH gap: Continuous time GARCH modeling
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Efficient estimation of integrated volatility incorporating trading information
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
• Estimation of stochastic volatility models by nonparametric filtering
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
• Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
• Fully Nonparametric Estimation of Scalar Diffusion Models
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 2042814 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Inference for volatility-type objects and implications for hedging
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• On the functional estimation of jump-diffusion models.
• The asymptotics of the integrated self-weighted cross volatility estimator

Cited in

(1)

• Estimation of the instantaneous volatility

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