ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION
From MaRDI portal
Publication:2976209
DOI10.1017/S0266466615000171zbMath1441.62796MaRDI QIDQ2976209
Viktor Todorov, George Tauchen, Jia Li
Publication date: 28 April 2017
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466615000171
62P20: Applications of statistics to economics
62G07: Density estimation
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
60F05: Central limit and other weak theorems
Related Items
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment, Occupation density estimation for noisy high-frequency data, Glivenko-Cantelli theorems for integrated functionals of stochastic processes, The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing, Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data
Cites Work
- Unnamed Item
- Unnamed Item
- Quarticity and other functionals of volatility: efficient estimation
- Volatility occupation times
- Discretization of processes.
- Estimating the degree of activity of jumps in high frequency data
- Occupation densities
- Long memory continuous time models
- On the continuity of local times of Borel right Markov processes
- A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
- Long memory in continuous-time stochastic volatility models
- The Realized Laplace Transform of Volatility
- Estimation of Jump Tails
- A SPECTRAL METHOD FOR DECONVOLVING A DENSITY
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Quantile and Probability Curves Without Crossing
- Asymptotic Statistics
- Direct regularization of the inversion of real-valued Laplace transforms
- Regularized inversion of integral transformations of Mellin convolution type
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
- NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
- Markov Processes, Gaussian Processes, and Local Times
- Handbook of econometrics. Vol. 4
