Fixed-k inference for volatility

DOI10.3982/QE1749MaRDI QIDQ3390399zbMATH OpenFDO

Authors Tim Bollerslev, Jia Li, Zhipeng Liao

Publication date 24 March 2022

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

zbMATH Keywords

semimartingaleuniform inferencespot volatilityhigh frequency identification

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(5)

• Inference theory for volatility functional dependencies
• Inference for random coefficient volatility models
• Optimal nonparametric range-based volatility estimation
• Volatility coupling
• Dynamic tail inference with log-Laplace volatility

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