Adaptive estimation of continuous-time regression models using high-frequency data

DOI10.1016/j.jeconom.2017.01.010zbMath1388.62050MaRDI QIDQ2398973

Jia Li, George Tauchen, Viktor Todorov

Publication date: 21 August 2017

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.01.010

zbMATH Keywords

stochastic volatility; adaptive estimation; high-frequency data; semiparametric efficiency; beta; spot variance; Itô semimartingale setting; nonparametric volatility estimates

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91G70: Statistical methods; risk measures

60G48: Generalizations of martingales

Related Items

EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS, Principal Component Analysis of High-Frequency Data, Bootstrapping High-Frequency Jump Tests, A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA, A GMM approach to estimate the roughness of stochastic volatility, Intraday cross-sectional distributions of systematic risk, Detecting factors of quadratic variation in the presence of market microstructure noise, Efficient estimation of integrated volatility functionals via multiscale jackknife, Continuous record Laplace-based inference about the break date in structural change models, Volatility coupling, Variation and efficiency of high-frequency betas, Time-invariant restrictions of volatility functionals: efficient estimation and specification tests, Glivenko-Cantelli theorems for integrated functionals of stochastic processes, Asymptotic properties of correlation-based principal component analysis

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Inference theory for volatility functional dependencies
• Quarticity and other functionals of volatility: efficient estimation
• ANOVA for diffusions and Itō processes
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
• Discretization of processes.
• Nonsynchronous covariation process and limit theorems
• Jumps and betas: a new framework for disentangling and estimating systematic risks
• On adaptive estimation
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
• An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
• Estimating spot volatility with high-frequency financial data
• Volatility activity: specification and estimation
• The Realized Laplace Transform of Volatility
• EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES
• Realized Beta: Persistence and Predictability
• Inference for Continuous Semimartingales Observed at High Frequency
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics