Estimation of correlation for continuous semimartingales

DOI10.1111/J.1467-9469.2012.00783.XzbMATH Open1253.62056OpenAlexW2116251976MaRDI QIDQ3145567FDOQ3145567

Mathias Vetter

Publication date: 21 December 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/27313

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zbMATH Keywords

central limit theoremstochastic volatilityhigh frequency observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Asymptotic properties of realized power variations and related functionals of semimartingales
• Microstructure noise in the continuous case: the pre-averaging approach
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• A Tale of Two Time Scales
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• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
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• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• The pricing of options on assets with stochastic volatilities
• Power Variation and Time Change
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
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• Limit theorems for multipower variation in the presence of jumps
• Title not available (Why is that?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Estimation of the Brownian dimension of a continuous Itô process
• Testing the local volatility assumption: a statistical approach
• Special issue: Computational finance

Cited In (8)

• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
• Modified martingale difference correlations
• Statistical inference for rough volatility: central limit theorems
• A test for the rank of the volatility process: the random perturbation approach
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
• A mean-reverting SDE on correlation matrices
• Fourier transform methods for pathwise covariance estimation in the presence of jumps

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