Inference theory for volatility functional dependencies

DOI10.1016/J.JECONOM.2016.01.004MaRDI QIDQ284294zbMATH OpenOpenAlexFDO

Authors Jia Li, Viktor Todorov, George Tauchen

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

zbMATH Keywords

specification testsemimartingalestochastic volatilityoccupation measurehigh-frequency data

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• Asymptotic Theory of Integrated Conditional Moment Tests
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Consistent model specification tests
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• Discretization of processes.
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Empirical dynamic asset pricing: model specification and econometric assessment
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
• Inference for Continuous Semimartingales Observed at High Frequency
• Large Sample Properties of Generalized Method of Moments Estimators
• Long memory in continuous-time stochastic volatility models
• Modeling and Forecasting Realized Volatility
• Occupation densities
• Quarticity and other functionals of volatility: efficient estimation
• Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
• Testing Statistical Hypotheses
• The realized Laplace transform of volatility
• Volatility and Links between National Stock Markets
• Volatility in equilibrium: asymmetries and dynamic dependencies
• Volatility occupation times

Cited in

(13)

• Efficient estimation of integrated volatility functionals via multiscale jackknife
• Asymptotic properties of correlation-based principal component analysis
• 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
• Efficient estimation of integrated volatility functionals under general volatility dynamics
• Fixed-\(k\) inference for 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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