A central limit theorem for the functional estimation of the spot volatility
DOI10.1515/MCMA.2009.019zbMATH Open1182.62167MaRDI QIDQ3405601FDOQ3405601
Authors: Shigeyoshi Ogawa, H. L. Ngo 
Publication date: 10 February 2010
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
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Cites Work
- A Tale of Two Time Scales
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Fourier series method for measurement of multivariate volatilities
- On mixing and stability of limit theorems
- A note on the central limit theorem for bipower variation of general functions
- On a real-time scheme for the estimation of volatility
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Real-time scheme for the volatility estimation in the presence of microstructure noise
Cited In (12)
- Simultaneous confidence statements about the diffusion coefficient of an Itô-process with application to spot volatility estimation
- Central limit theorems of local polynomial threshold estimator for diffusion processes with jumps
- Applications of the central limit theorem for pricing cliquet-style options
- Parametric estimation for discretely observed stochastic processes with jumps
- Real-time estimation scheme for the spot cross volatility of jump diffusion processes
- An integrated cross-volatility estimation for asynchronous noisy data
- Testing for jumps with robust spot volatility estimators
- Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
- Spot volatility estimation using delta sequences
- Estimating spot volatility with high-frequency financial data
- Some remarks on the real-time scheme for the estimation of spot volatility
- Asymptotic properties for spot volatility estimation of diffusions with compound Poisson jumps
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