Estimation of volatility functionals: the case of a n window

DOI10.1007/978-3-319-11605-1_20MaRDI QIDQ4560345zbMATH OpenOpenAlexFDO

Authors Jean Jacod, Mathieu Rosenbaum

Publication date 11 December 2018

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.1997

zbMATH Keywords

asymptotic aspectscentral limit theoremefficient estimationestimation of volatility functionalshigh frequency datasemimartingalevolatility estimation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Stochastic integrals (60H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency 1/Delta_n, with Delta_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, with the optimal rate 1/sqrt{Delta_n} and minimal asymptotic variance. To achieve this we use spot volatility estimators based on observations within time intervals of length k_nDelta_n. In [5] this was done with k_n tending to infinity and k_nsqrt{Delta_n} tending to 0, and a central limit theorem was given after suitable de-biasing. Here we do the same with k_n of order 1/sqrt{Delta_n}. This results in a smaller bias, although more difficult to eliminate.

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Cites work

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Cited in

(15)

• Efficient estimation of integrated volatility functionals via multiscale jackknife
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
• Bias-optimal vol-of-vol estimation: the role of window overlapping
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• Statistical inferences for price staleness
• Asymptotic properties of correlation-based principal component analysis
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
• A central limit theorem for the functional estimation of the spot volatility
• Quarticity and other functionals of volatility: efficient estimation
• Efficient estimation of integrated volatility functionals under general volatility dynamics
• Bootstrapping Laplace transforms of volatility
• Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
• High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
• Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
• Cross-sectional dependence in idiosyncratic volatility

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