Spot volatility estimation using delta sequences
From MaRDI portal
Publication:2339119
DOI10.1007/s00780-015-0255-1zbMath1310.91149OpenAlexW1481289643MaRDI QIDQ2339119
Vanessa Mattiussi, Roberto Renò, Cecilia Mancini
Publication date: 30 March 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://www.disei.unifi.it/upload/sub/pubblicazioni/repec/flo/workingpapers/storicodimad/2012/dimadwp2012-10.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Generalizations of martingales (60G48)
Related Items
Volatility of volatility: estimation and tests based on noisy high frequency data with jumps ⋮ Common price and volatility jumps in noisy high-frequency data ⋮ Jump-robust volatility estimation using dynamic dual-domain integration method ⋮ Optimal kernel estimation of spot volatility of stochastic differential equations ⋮ Uniform convergence rates for spot volatility estimation ⋮ From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution ⋮ Drift burst test statistic in the presence of infinite variation jumps ⋮ Nonparametric Bayesian volatility learning under microstructure noise ⋮ On the convergence of two types of estimators of quadratic variation ⋮ Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach ⋮ Nonparametric range-based double smoothing spot volatility estimation for diffusion models ⋮ Glivenko-Cantelli theorems for integrated functionals of stochastic processes ⋮ NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS ⋮ Optimal iterative threshold-kernel estimation of jump diffusion processes ⋮ Nonparametric estimation of jump diffusion models ⋮ Occupation density estimation for noisy high-frequency data ⋮ The drift burst hypothesis
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Quarticity and other functionals of volatility: efficient estimation
- Estimation of the instantaneous volatility
- ANOVA for diffusions and Itō processes
- Jump-robust volatility estimation using nearest neighbor truncation
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Discretization of processes.
- Inference for volatility-type objects and implications for hedging
- Spot volatility estimation for high-frequency data
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Threshold estimation of Markov models with jumps and interest rate modeling
- Bipower-type estimation in a noisy diffusion setting
- Do price and volatility jump together?
- Testing for jumps in a discretely observed process
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Mean integrated squared error of kernel estimators when the density and its derivative are not necessarily continuous
- Approximation of the delta function by wavelets
- Probability density estimation using delta sequences
- \(L_p\) estimation of the diffusion coefficient
- On the functional estimation of jump-diffusion models.
- Rate of convergence for parametric estimation in a stochastic volatility model.
- Fourier series method for measurement of multivariate volatilities
- Nonlinear time series. Nonparametric and parametric methods
- Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Microstructure noise in the continuous case: the pre-averaging approach
- Estimating spot volatility with high-frequency financial data
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- A central limit theorem for the functional estimation of the spot volatility
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- On estimating the diffusion coefficient from discrete observations
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- Estimating functions for diffusion-type processes
- NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
- Fully Nonparametric Estimation of Scalar Diffusion Models
- A Tale of Two Time Scales
This page was built for publication: Spot volatility estimation using delta sequences
