Optimal restricted quadratic estimator of integrated volatility
DOI10.1007/S10463-015-0507-ZzbMATH Open1432.62357OpenAlexW1973823353MaRDI QIDQ287536FDOQ287536
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
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microstructure noisesignal-to-noise ratiohigh-frequency datastochastic volatility modelintegrated volatility
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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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
- Determining the integrated volatility via limit order books with multiple records
- Volatility estimation under one-sided errors with applications to limit order books
- Quasi-maximum likelihood estimation of volatility with high frequency data
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