Nonparametric Estimation Methods of Integrated Multivariate Volatilities

DOI10.1080/07474930701853855MaRDI QIDQ3539868zbMATH OpenOpenAlexFDO

Authors Toshiya Hoshikawa, Keiji Nagai, Taro Kanatani, Yoshihiko Nishiyama

Publication date 19 November 2008

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930701853855

zbMATH Keywords

high frequency dataintegrated volatilitynonparametric estimatorsweighted realized volatility

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Tale of Two Time Scales
• ARCH models as diffusion approximations
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Fourier series method for measurement of multivariate volatilities
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Modeling and Forecasting Realized Volatility
• On covariance estimation of non-synchronously observed diffusion processes
• On measuring volatility of diffusion processes with high frequency data
• The Distribution of Realized Exchange Rate Volatility

Cited in

(10)

• Estimation of the lead-lag parameter from non-synchronous data
• A Fourier transform method for nonparametric estimation of multivariate volatility
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
• A Markov chain estimator of multivariate volatility from high frequency data
• Predictive Inference for Integrated Volatility
• Realized Volatility and Long Memory: An Overview
• Realized Volatility: A Review
• Nonsynchronous covariation process and limit theorems
• Second-order asymptotic expansion for a non-synchronous covariation estimator
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility

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