Inference theory for volatility functional dependencies
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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
(16)- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Cross-sectional dependence in idiosyncratic volatility
- Multiplicative factor model for volatility
- 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
- Continuous record asymptotics for change-point models
- 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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