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

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)

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Cites work

• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
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• The realized Laplace transform of volatility
• Uniform nonparametric inference for time series
• Volatility occupation times

Cited in

(3)

• Fixed-\(k\) inference for volatility
• Equivalent Black volatilities
• Optimal nonparametric range-based volatility estimation

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