Inference theory for volatility functional dependencies
DOI10.1016/J.JECONOM.2016.01.004zbMATH Open1420.62494OpenAlexW2268965151MaRDI QIDQ284294FDOQ284294
George Tauchen, Jia Li, Viktor Todorov
Publication date: 18 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.01.004
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Cited In (12)
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Asymptotic properties of correlation-based principal component analysis
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS
- Adaptive estimation of continuous-time regression models using high-frequency data
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
- Bootstrapping Laplace transforms of volatility
- High-frequency factor models and regressions
- ETF basket-adjusted covariance estimation
- Principal Component Analysis of High-Frequency Data
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- Predictive Inference for Integrated Volatility
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