Spot volatility estimation for high-frequency data
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Publication:660058
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Cited in
(42)- Forecasting intraday volatility and value-at-risk with high-frequency data
- Edgeworth corrections for spot volatility estimator
- Optimal iterative threshold-kernel estimation of jump diffusion processes
- Nonparametric estimation of jump diffusion models
- Volatility coupling
- Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Optimal kernel estimation of spot volatility of stochastic differential equations
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models
- Estimation of volatility in a high-frequency setting: a short review
- Spot volatility estimation using delta sequences
- An application of nonparametric volatility estimators to option pricing
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
- Estimating spot volatility with high-frequency financial data
- A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type
- Bias reduction in spot volatility estimation from options
- A mathematical analysis of the Gumbel test for jumps in stochastic volatility models
- Estimation of stochastic volatility models by nonparametric filtering
- An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
- Realized kernels in practise : trades and quotes
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Fourier transform methods for pathwise covariance estimation in the presence of jumps
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Inference on volatility curve at high frequencies via functional data analysis
- Uniform convergence rates for spot volatility estimation
- Inference on the maximal rank of time-varying covariance matrices using high-frequency data
- Strong consistency of the kernel estimator of spot volatility for diffusion process
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- Testing for jumps with robust spot volatility estimators
- Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
- Correcting spot power variation estimator via Edgeworth expansion
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
- Robust estimation of integrated and spot volatility
- Data-driven fixed-point tuning for truncated realized variations
- On the realized joint Laplace transform of volatilities with application to test the volatility dependence
- Estimation of calendar effect in microstructure noise using high-frequency financial data
- Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise
- Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
- Nonparametric estimation of large spot volatility matrices for high-frequency financial data
- A Cramér-von Mises-type statistic for identifying jump variations in high-frequency time series
- Functional data analysis for volatility
- Volatility estimation by combining stock price data and option data
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