Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

DOI10.3150/bj/1165269149zbMath1117.62119arXivmath/0411397MaRDI QIDQ2642802

Publication date: 5 September 2007

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0411397

zbMATH Keywords

rate of convergence; consistency; efficiency; observation error; realized volatility; Itô process; microstructure noise; discrete observation; dependent noise

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60F05: Central limit and other weak theorems

62M09: Non-Markovian processes: estimation

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