Quarticity and other functionals of volatility: efficient estimation

DOI10.1214/13-AOS1115zbMATH Open1292.60033arXiv1207.3757OpenAlexW3099030489MaRDI QIDQ366987FDOQ366987

Authors: Jean Jacod, Mathieu Rosenbaum 

Publication date: 25 September 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency $1/Delt{a}_n$, with $Delt{a}_n$ going to zero. The goal of this paper is to provide an estimator for the integral over [0,t] of a given function of the volatility matrix. To approximate the integral, we simply use a Riemann sum based on local estimators of the pointwise volatility. We show that although the accuracy of the pointwise estimation is at most $Delt{a}_n^{1/4}$, this procedure reaches the parametric rate $Delt{a}_n^{1/2}$, as it is usually the case in integrated functionals estimation. After a suitable bias correction, we obtain an unbiased central limit theorem for our estimator and show that it is asymptotically efficient within some classes of sub models.

Full work available at URL: https://arxiv.org/abs/1207.3757

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zbMATH Keywords

central limit theoremefficient estimationsemimartingalehigh frequency datavolatility estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Cited In (64)

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• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
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• Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data

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