EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES

DOI10.1017/S0266466616000013zbMath1442.62755MaRDI QIDQ2986526

Cisil Sarisoy, Eric Renault, Bas J. M. Werker

Publication date: 16 May 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466616000013

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62P05: Applications of statistics to actuarial sciences and financial mathematics

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EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS, A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA, IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS, Optimal nonparametric range-based volatility estimation, Functional stable limit theorems for quasi-efficient spectral covolatility estimators, Efficient estimation of integrated volatility functionals via multiscale jackknife, Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book, Estimation for high-frequency data under parametric market microstructure noise, Volatility coupling, Large deviation principles of realized Laplace transform of volatility, Nonparametric range-based double smoothing spot volatility estimation for diffusion models, Adaptive estimation of continuous-time regression models using high-frequency data

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