Volatility coupling

DOI10.1214/20-AOS2023zbMATH Open1478.60106OpenAlexW4206581802MaRDI QIDQ2054472FDOQ2054472

Authors: Jean Jacod, Jia Li, Zhipeng Liao 

Publication date: 3 December 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/annals-of-statistics/volume-49/issue-4/Volatility-coupling/10.1214/20-AOS2023.full

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zbMATH Keywords

quantilessemimartingalecouplingoccupation measurehigh-frequency datauniform inference

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Strong limit theorems (60F15) Martingales with continuous parameter (60G44)

Cites Work

• Gaussian approximation for high dimensional time series
• On some global measures of the deviations of density function estimates
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• Probabilities of maximal deviations for nonparametric regression function estimates
• Intersection bounds: estimation and inference
• Gaussian approximation of suprema of empirical processes
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• Modeling and Forecasting Realized Volatility
• Long memory in continuous-time stochastic volatility models
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• Estimation of jump tails
• Markov Processes, Gaussian Processes, and Local Times
• Occupation densities
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• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Title not available (Why is that?)
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• Spot volatility estimation for high-frequency data
• Generalized Method of Integrated Moments for High-Frequency Data
• Jump Regressions
• EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES
• Adaptive estimation of continuous-time regression models using high-frequency data
• Uniform nonparametric inference for time series

Cited In (2)

• Equivalent Black volatilities
• Optimal nonparametric range-based volatility estimation

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