Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
From MaRDI portal
Publication:2155303
DOI10.1016/j.jeconom.2021.02.007OpenAlexW3154134185MaRDI QIDQ2155303
Guangying Liu, Zhiyuan Zhang, Ying-Ying 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
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items
Volatility of volatility and leverage effect from options ⋮ Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data ⋮ From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Bootstrap specification tests for diffusion processes
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Efficient estimation of integrated volatility incorporating trading information
- Stationarity-based specification tests for diffusions when the process is nonstationary
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Discretization of processes.
- Spot volatility estimation for high-frequency data
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Estimating covariation: Epps effect, microstructure noise
- A martingale approach for testing diffusion models based on infinitesimal operator
- Bipower-type estimation in a noisy diffusion setting
- Power variation of some integral fractional processes
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Variation-based tests for volatility misspecification
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Common price and volatility jumps in noisy high-frequency data
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
- Estimating the integrated volatility with tick observations
- On a test for a parametric form of volatility in continuous time financial models
- Model checks for the volatility under microstructure noise
- Semimartingale detection and goodness-of-fit tests
- Estimation for high-frequency data under parametric market microstructure noise
- Spot volatility estimation using delta sequences
- Microstructure noise in the continuous case: the pre-averaging approach
- Estimating spot volatility with high-frequency financial data
- Fourier-Malliavin Volatility Estimation
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Diffusions with measurement errors. II. Optimal estimators
- Volatility is rough
- Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
- Statistical Properties of Microstructure Noise
- High-frequency volatility of volatility estimation free from spot volatility estimates
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
- Specification Tests for the Variance of a Diffusion
- The Estimation of Leverage Effect With High-Frequency Data
- Nonparametric Transition-Based Tests for Jump Diffusions
- An equilibrium characterization of the term structure
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- A Tale of Two Time Scales
- A nonparametric specification test for the volatility functions of diffusion processes
