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

Cites work

A closed-form solution for options with stochastic volatility with applications to bond and currency options
A consistent pricing model for index options and volatility derivatives
A martingale approach for testing diffusion models based on infinitesimal operator
A nonparametric specification test for the volatility functions of diffusion processes
A Tale of Two Time Scales
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
An equilibrium characterization of the term structure
Assessment of uncertainty in high frequency data: the observed asymptotic variance
Bipower-type estimation in a noisy diffusion setting
Bootstrap specification tests for diffusion processes
Common price and volatility jumps in noisy high-frequency data
Continuous Record Asymptotics for Rolling Sample Variance Estimators
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Diffusions with measurement errors. II. Optimal estimators
Discretization of processes.
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Efficient estimation of integrated volatility incorporating trading information
Estimating covariation: Epps effect, microstructure noise
Estimating spot volatility with high-frequency financial data
Estimating the integrated volatility with tick observations
Estimation for high-frequency data under parametric market microstructure noise
Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Fourier-Malliavin Volatility Estimation
High-frequency volatility of volatility estimation free from spot volatility estimates
scientific article; zbMATH DE number 1834045 (Why is no real title available?)
scientific article; zbMATH DE number 6324332 (Why is no real title available?)
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
Microstructure noise in the continuous case: the pre-averaging approach
Model checks for the volatility under microstructure noise
Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
Nonparametric transition-based tests for jump diffusions
On a test for a parametric form of volatility in continuous time financial models
Power variation of some integral fractional processes
Quasi-maximum likelihood estimation of volatility with high frequency data
Semimartingale detection and goodness-of-fit tests
Specification Tests for the Variance of a Diffusion
Spot volatility estimation for high-frequency data
Spot volatility estimation using delta sequences
Stationarity-based specification tests for diffusions when the process is nonstationary
Statistical Properties of Microstructure Noise
Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
The estimation of leverage effect with high-frequency data
The pricing of options and corporate liabilities
Threshold bipower variation and the impact of jumps on volatility forecasting
Variation-based tests for volatility misspecification
Volatility is rough

Cited in

(11)

Testing for jumps in noisy high frequency data
On measuring volatility of diffusion processes with high frequency data
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
Statistical inference for rough volatility: central limit theorems
Robust estimation of integrated and spot volatility
Asymptotic expansions for high-frequency option data
Spot beta estimation with asynchronous noisy prices
Cross-sectional dependence in idiosyncratic volatility
Estimation and specification test for diffusion models with stochastic volatility

This page was built for publication: Volatility of volatility: estimation and tests based on noisy high frequency data with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2155303)