Inference theory for volatility functional dependencies
From MaRDI portal
Publication:284294
DOI10.1016/j.jeconom.2016.01.004zbMath1420.62494OpenAlexW2268965151MaRDI QIDQ284294
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
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)
Related Items (10)
Adaptive estimation of continuous-time regression models using high-frequency data ⋮ Time-invariant restrictions of volatility functionals: efficient estimation and specification tests ⋮ Asymptotic properties of correlation-based principal component analysis ⋮ Bootstrapping Laplace transforms of volatility ⋮ ETF basket-adjusted covariance estimation ⋮ 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 ⋮ High-frequency factor models and regressions ⋮ Principal Component Analysis of High-Frequency Data
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- Consistent model specification tests
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Quarticity and other functionals of volatility: efficient estimation
- Volatility occupation times
- Discretization of processes.
- Occupation densities
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Long memory in continuous-time stochastic volatility models
- The Realized Laplace Transform of Volatility
- Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*
- Inference for Continuous Semimartingales Observed at High Frequency
- Volatility and Links between National Stock Markets
- Asymptotic Theory of Integrated Conditional Moment Tests
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- Testing Statistical Hypotheses
- Modeling and Forecasting Realized Volatility
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
This page was built for publication: Inference theory for volatility functional dependencies
