Continuous Record Asymptotics for Rolling Sample Variance Estimators
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Publication:4715549
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Cited in
(60)- An application of nonparametric volatility estimators to option pricing
- Bias reduction in spot volatility estimation from options
- A Gaussian calculus for inference from high frequency data
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
- 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
- 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
- Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
- Measuring volatility with the realized range
- Inference theory for volatility functional dependencies
- Asymptotic filtering theory for multivariate ARCH models
- 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
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Adaptive estimation of continuous-time regression models using high-frequency data
- Sampling frequency and window length trade-offs in data-driven volatility estimation: appraising the accuracy of asymptotic approximations
- Nonparametric inference of discretely sampled stable Lévy processes
- Optimal iterative threshold-kernel estimation of jump diffusion processes
- Implied and realized volatility: empirical model selection
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
- The economic value of volatility timing using a range-based volatility model
- 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
- Conservative delta hedging.
- Correcting spot power variation estimator via Edgeworth expansion
- 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
- Bootstrapping Laplace transforms of volatility
- Permutation‐based tests for discontinuities in event studies
- 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
- Spot volatility estimation using delta sequences
- Efficient estimation of integrated volatility functionals under general volatility dynamics
- Testing for jumps with robust spot volatility estimators
- Estimating spot volatility with high-frequency financial data
- Sequential monitoring of minimum variance portfolio
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
- 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
- The distribution of rolling regression estimators
- 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
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