Large and moderate deviations of realized covolatility

DOI10.1016/J.SPL.2013.12.003zbMath1296.60067OpenAlexW2050774800MaRDI QIDQ2452772

Hacène Djellout, Yacouba Samoura

Publication date: 5 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.12.003

zbMATH Keywords

diffusionrealized volatilitydeviation inequalitiesdiscrete-time observationlarge and moderate deviation principle

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Discrete-time Markov processes on general state spaces (60J05) Large deviations (60F10)

Related Items (3)

Estimation of the realized (co-)volatility vector: large deviations approach ⋮ Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps ⋮ Large deviation principles of realized Laplace transform of volatility

Cites Work

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• Large deviations of realized volatility
• Nonsynchronous covariation process and limit theorems
• Second-order asymptotic expansion for a non-synchronous covariation estimator
• Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
• Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps
• High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Large and moderate deviations for estimators of quadratic variational processes of diffusions.

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