A central limit theorem for the functional estimation of the spot volatility
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Publication:3405601
Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Diffusion processes (60J60)
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Cites work
- A Tale of Two Time Scales
- A note on the central limit theorem for bipower variation of general functions
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Fourier series method for measurement of multivariate volatilities
- On a real-time scheme for the estimation of volatility
- On mixing and stability of limit theorems
- Real-time scheme for the volatility estimation in the presence of microstructure noise
- Robustness of Fourier estimator of integrated volatility 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
- Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
- Spot volatility estimation using delta sequences
- Testing for jumps with robust spot volatility estimators
- 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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