Optimal restricted quadratic estimator of integrated volatility

DOI10.1007/S10463-015-0507-ZMaRDI QIDQ287536zbMATH OpenOpenAlexFDO

Authors Liang-Ching Lin, Meihui Guo

Publication date 20 May 2016

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-015-0507-z

zbMATH Keywords

microstructure noisesignal-to-noise ratiohigh-frequency datastochastic volatility modelintegrated volatility

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 50749 (Why is no real title available?)
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Cited in

(5)

• Strong consistency of the kernel estimator of spot volatility for diffusion process
• Bias-optimal vol-of-vol estimation: the role of window overlapping
• Volatility estimation under one-sided errors with applications to limit order books
• Determining the integrated volatility via limit order books with multiple records
• Quasi-maximum likelihood estimation of volatility with high frequency data

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