Volatility occupation times

DOI10.1214/13-AOS1135zbMath1277.62196arXiv1309.4667MaRDI QIDQ385768

Viktor Todorov, George Tauchen, Jia Li

Publication date: 11 December 2013

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

Full work available at URL: https://arxiv.org/abs/1309.4667

zbMATH Keywords

stochastic volatility; quantiles; local approximations; high-frequency data; nonparametric estimation; spot variance

Mathematics Subject Classification ID

62G07: Density estimation

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

62M05: Markov processes: estimation; hidden Markov models

60H30: Applications of stochastic analysis (to PDEs, etc.)

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Inference theory for volatility functional dependencies, Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment, Volatility coupling, Occupation density estimation for noisy high-frequency data, Variation and efficiency of high-frequency betas, Testing for the presence of jump components in jump diffusion models, Time-invariant restrictions of volatility functionals: efficient estimation and specification tests, Glivenko-Cantelli theorems for integrated functionals of stochastic processes, The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing, ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION, EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES

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