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

DOI10.1016/j.jeconom.2017.01.010zbMath1388.62050OpenAlexW2588278413MaRDI 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 volatilityadaptive estimationhigh-frequency datasemiparametric efficiencybetaspot varianceItô semimartingale settingnonparametric volatility estimates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Generalizations of martingales (60G48)

Related Items (18)

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

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