Inference for volatility-type objects and implications for hedging

DOI10.4310/SII.2008.V1.N2.A4MaRDI QIDQ660057zbMATH OpenOpenAlexFDO

Authors Lan Zhang, Per Aslak Mykland

Publication date 25 January 2012

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/sii.2008.v1.n2.a4

zbMATH Keywords

implied volatilityoption hedgingrealized volatilitysmall interval asymptoticsstable convergencevolatility estimation

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cited in

(18)

• Financial options and statistical prediction intervals
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
• A CLT for second difference estimators with an application to volatility and intensity
• Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
• Nonparametric range-based double smoothing spot volatility estimation for diffusion models
• Spot volatility estimation using delta sequences
• Estimating spot volatility with high-frequency financial data
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
• NONPARAMETRIC STOCHASTIC VOLATILITY
• Fourier transform methods for pathwise covariance estimation in the presence of jumps
• A Gaussian calculus for inference from high frequency data
• Implied and realized volatility: empirical model selection
• G-M integrated type instantaneous volatility estimation
• IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
• Realized regression with asynchronous and noisy high frequency and high dimensional data
• Intraday Periodic Volatility Curves
• Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
• Volatility-invariant hedging

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