Estimating the integrated volatility using high-frequency data with zero durations
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Publication:1745612
DOI10.1016/j.jeconom.2017.12.008zbMath1387.62110OpenAlexW2791056371MaRDI QIDQ1745612
Bing-Yi Jing, Zhi Liu, Xin-Bing Kong
Publication date: 18 April 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.12.008
asymptotic distributioncentral limit theoremhigh frequency datamicrostructure noisemultiple transactionsItô semimartingalerealized power variations
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)
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On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? ⋮ Statistical inferences for price staleness ⋮ Nonparametric range-based double smoothing spot volatility estimation for diffusion models ⋮ Volatility Estimation and Jump Testing via Realized Information Variation ⋮ Design-free estimation of integrated covariance matrices for high-frequency data ⋮ State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
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