Efficient estimation of integrated volatility functionals via multiscale jackknife
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Publication:1731750
DOI10.1214/18-AOS1684zbMath1481.60052WikidataQ128848515 ScholiaQ128848515MaRDI QIDQ1731750
Jia Li, Yunxiao Liu, Dacheng Xiu
Publication date: 14 March 2019
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1543568585
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)
Related Items (10)
Testing for the presence of jump components in jump diffusion models ⋮ Time-invariant restrictions of volatility functionals: efficient estimation and specification tests ⋮ Asymptotic properties of correlation-based principal component analysis ⋮ Bootstrapping Laplace transforms of volatility ⋮ Power variations for a class of Brown-Resnick processes ⋮ ETF basket-adjusted covariance estimation ⋮ Estimation of Leverage Effect: Kernel Function and Efficiency ⋮ High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times ⋮ Efficient estimation of integrated volatility functionals via multiscale jackknife ⋮ Asymptotic results for the Fourier estimator of the integrated quarticity
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