Volatility Estimation and Jump Testing via Realized Information Variation

DOI10.1111/jtsa.12454zbMath1435.62163OpenAlexW3122967779WikidataQ128319069 ScholiaQ128319069MaRDI QIDQ5237530

Mingjin Wang, Wei-Yi Liu

Publication date: 18 October 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12454

zbMATH Keywords

jumpsvolatilityhigh-frequency OHLC datarealized information power variationrealized information variation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02) Jump processes on general state spaces (60J76)

Related Items (2)

A closed-form quasi-maximum likelihood estimator of bid-ask spread ⋮ Testing the volatility jumps based on the high frequency data

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