Inference theory for volatility functional dependencies

DOI10.1016/j.jeconom.2016.01.004zbMath1420.62494MaRDI 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

zbMATH Keywords

stochastic volatility; occupation measure; high-frequency data; semimartingale; specification test

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62M05: Markov processes: estimation; hidden Markov models

91B84: Economic time series analysis

Related Items

EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS, Principal Component Analysis of High-Frequency Data, ETF basket-adjusted covariance estimation, Efficient estimation of integrated volatility functionals via multiscale jackknife, Time-invariant restrictions of volatility functionals: efficient estimation and specification tests, Glivenko-Cantelli theorems for integrated functionals of stochastic processes, High-frequency factor models and regressions, Adaptive estimation of continuous-time regression models using high-frequency data, Asymptotic properties of correlation-based principal component analysis

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