The asymptotics of the integrated self-weighted cross volatility estimator

DOI10.1016/J.JSPI.2013.05.003zbMATH Open1279.62211OpenAlexW1974039729MaRDI QIDQ394775FDOQ394775

Authors: Cuixia Li, Xin-Bing Kong, Xiaolin Liang, Bing-Yi Jing 

Publication date: 27 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2013.05.003

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zbMATH Keywords

asynchronous dataicrostructure noiseIto semi-martingales

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Modeling and Forecasting Realized Volatility
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• Estimating covariation: Epps effect, microstructure noise
• Estimating the degree of activity of jumps in high frequency data
• Title not available (Why is that?)
• On covariance estimation of non-synchronously observed diffusion processes
• Ultra high frequency volatility estimation with dependent microstructure noise
• Vast volatility matrix estimation for high-frequency financial data
• ANOVA for diffusions and Itō processes
• An integrated cross-volatility estimation for asynchronous noisy data
• Confidence interval of the jump activity index based on empirical likelihood using high frequency data

Cited In (4)

• Strong consistency of the kernel estimator of spot volatility for diffusion process
• On the complete consistency of the kernel estimator of spot volatility
• G-M integrated type instantaneous volatility estimation
• An integrated cross-volatility estimation for asynchronous noisy data

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