The Double Gaussian Approximation for High Frequency Data
From MaRDI portal
Publication:2911663
DOI10.1111/j.1467-9469.2011.00742.xzbMath1246.62088OpenAlexW2155727846MaRDI QIDQ2911663
Publication date: 1 September 2012
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9469.2011.00742.x
continuityconsistencycumulantspartial likelihoodefficiencydiscrete observationscontiguityleverage effectlikelihood inferencestable convergencerealized volatilityItô processvolatility of volatilityequivalent martingale measuresrealized betaquarticity
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)
Related Items
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price ⋮ A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA ⋮ The Estimation of Leverage Effect With High-Frequency Data
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- The epic story of maximum likelihood
- ANOVA for diffusions and Itō processes
- Causality effects in return volatility measures with random times
- Bipower-type estimation in a noisy diffusion setting
- Theory of partial likelihood
- Limit distributions for the error in approximations of stochastic integrals
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Bartlett type identities for martingales
- Generalized autoregressive conditional heteroscedasticity
- Microstructure noise in the continuous case: the pre-averaging approach
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Long memory in continuous-time stochastic volatility models
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Inference for Continuous Semimartingales Observed at High Frequency
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Partial likelihood
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Thiele: Pioneer in Statistics
- The Econometrics of Ultra-high-frequency Data
- Stochastic Volatility for Lévy Processes
- A Tale of Two Time Scales
