G-M integrated type instantaneous volatility estimation

MaRDI QIDQ5237656zbMATH OpenFDO

Authors Xin Yang, Shanchao Yang, Wei-Wei Xu

Publication date 18 October 2019

zbMATH Keywords

asymptotic propertiesdiffusion processinstantaneous volatilityGasser-Müller integrated type estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60) Stochastic models in economics (91B70)

Recommendations

• Efficient estimation of integrated volatility in presence of infinite variation jumps
• Estimating the integrated volatility with tick observations
• Efficient estimation of integrated volatility and related processes
• Estimation of the instantaneous volatility
• Estimating spot volatility with high-frequency financial data

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 2042814 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• A Fourier transform method for nonparametric estimation of multivariate volatility
• ANOVA for diffusions and Itō processes
• Closing the GARCH gap: Continuous time GARCH modeling
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Efficient estimation of integrated volatility incorporating trading information
• Estimation of stochastic volatility models by nonparametric filtering
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
• Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Inference for volatility-type objects and implications for hedging
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• On the functional estimation of jump-diffusion models.
• The asymptotics of the integrated self-weighted cross volatility estimator

Cited in

(1)

• Estimation of the instantaneous volatility

This page was built for publication: G-M integrated type instantaneous volatility estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5237656)