Fixed-k inference for volatility

DOI10.3982/QE1749zbMATH Open1485.91233MaRDI QIDQ3390399FDOQ3390399

Authors: Tim Bollerslev, Jia Li, Zhipeng Liao 

Publication date: 24 March 2022

Published in: Quantitative Economics (Search for Journal in Brave)

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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)

Cited In (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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