On the convergence of two types of estimators of quadratic variation

DOI10.1002/MMA.8007zbMATH Open1528.62055OpenAlexW4225597456MaRDI QIDQ6182335FDOQ6182335

Xisheng Yu

Publication date: 21 December 2023

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.8007

zbMATH Keywords

convergence propertyadjoint Itô identityestimator of QVhigh-order Itô isometry

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Foundations of stochastic processes (60G05)

Cites Work

• Realized power variation and stochastic volatility models
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• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Modeling and Forecasting Realized Volatility
• A Tale of Two Time Scales
• Long memory in continuous-time stochastic volatility models
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
• Spot volatility estimation using delta sequences
• From Measures to Itô Integrals

Cited In (1)

• A novel model for pricing European option with discrete dividends

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