Continuous Record Asymptotics for Rolling Sample Variance Estimators

DOI10.2307/2171927zbMATH Open0860.62101OpenAlexW3124803411MaRDI QIDQ4715549FDOQ4715549

Authors: Dean P. Foster, Dan B. Nelson 

Publication date: 23 April 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://repository.upenn.edu/statistics_papers/474

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zbMATH Keywords

conditional heteroskedasticitymeasurement errorGARCHstochastic volatilityARCHoptimal weightsrolling regressionsasymptotically optimal window lengthsconditional covariances of asset returnscontinuous record asymptotic approximationsweighted rolling regressions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited In (60)

• EXPLORING MULTI-RESOLUTION AND MULTI-SCALING VOLATILITY FEATURES
• Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
• Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
• Optimal nonparametric range-based volatility estimation
• Correcting spot power variation estimator via Edgeworth expansion
• Bootstrapping Laplace transforms of volatility
• Permutation‐based tests for discontinuities in event studies
• Testing for jumps with robust spot volatility estimators
• The distribution of rolling regression estimators
• Bias reduction in spot volatility estimation from options
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
• A Gaussian calculus for inference from high frequency data
• Computation of volatility in stochastic volatility models with high frequency data
• Bayesian analysis of stochastic volatility models with flexible tails
• Inference on volatility curve at high frequencies via functional data analysis
• Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
• Edgeworth corrections for spot volatility estimator
• Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
• Occupation density estimation for noisy high-frequency data
• Measuring volatility with the realized range
• Asymptotic filtering theory for multivariate ARCH models
• Inference theory for volatility functional dependencies
• Optimal kernel estimation of spot volatility of stochastic differential equations
• Asymptotic inference about predictive accuracy using high frequency data
• Subsampling high frequency data
• Estimating the volatility occupation time via regularized Laplace inversion
• Microstructure noise in the continuous case: the pre-averaging approach
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
• Sampling frequency and window length trade-offs in data-driven volatility estimation: appraising the accuracy of asymptotic approximations
• Adaptive estimation of continuous-time regression models using high-frequency data
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
• Nonparametric inference of discretely sampled stable Lévy processes
• IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
• Optimal iterative threshold-kernel estimation of jump diffusion processes
• Implied and realized volatility: empirical model selection
• The economic value of volatility timing using a range-based volatility model
• Conservative delta hedging.
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
• ANOVA for diffusions and Itō processes
• Financial options and statistical prediction intervals
• Volatility coupling
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
• Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model
• Efficient estimation of integrated volatility functionals under general volatility dynamics
• Spot volatility estimation using delta sequences
• Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
• Estimating spot volatility with high-frequency financial data
• Sequential monitoring of minimum variance portfolio
• Functional data analysis for volatility
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A data-dependent approach to modeling volatility in financial time series
• NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
• Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• A Fourier transform method for nonparametric estimation of multivariate volatility
• Modelling dynamic portfolio risk using risk drivers of elliptical processes
• EWMA Control Charts for Monitoring Optimal Portfolio Weights
• Parametric and nonparametric models and methods in financial econometrics
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• An application of nonparametric volatility estimators to option pricing

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