Volatility of volatility: estimation and tests based on noisy high frequency data with jumps

DOI10.1016/J.JECONOM.2021.02.007MaRDI QIDQ2155303zbMATH OpenOpenAlexFDO

Authors Guangying Liu, Zhiyuan Zhang, Yingying Li

Publication date 15 July 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.02.007

zbMATH Keywords

central limit theoremmicrostructure noisesemimartingalehigh frequency datavolatility of volatility

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(6)

• Statistical inference for rough volatility: central limit theorems
• Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data
• Testing for jumps in noisy high frequency data
• From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
• On measuring volatility of diffusion processes with high frequency data
• Volatility of volatility and leverage effect from options

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