Large and moderate deviations of realized covolatility

DOI10.1016/J.SPL.2013.12.003MaRDI QIDQ2452772zbMATH OpenOpenAlexFDO

Authors Hacène Djellout, Yacouba Samoura

Publication date 5 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2013.12.003

zbMATH Keywords

deviation inequalitiesdiffusiondiscrete-time observationlarge and moderate deviation principlerealized volatility

Mathematics Subject Classification ID

Large deviations (60F10) Discrete-time Markov processes on general state spaces (60J05) Linear regression; mixed models (62J05)

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Cites work

• High-frequency covariance estimates with noisy and asynchronous financial data
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Large and moderate deviations for estimators of quadratic variational processes of diffusions.
• Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
• Large deviations of realized volatility
• Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps
• Nonsynchronous covariation process and limit theorems
• Second-order asymptotic expansion for a non-synchronous covariation estimator

Cited in

(6)

• Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
• Corrigendum to ``Large deviations of realized volatility
• A weak law of large numbers for realised covariation in a Hilbert space setting
• Large deviation principles of realized Laplace transform of volatility
• Estimation of the realized (co-)volatility vector: large deviations approach
• Large deviations of realized volatility

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